Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
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DOI: 10.1080/07474930801960410
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- Lee, Seojeong, 2016.
"Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators,"
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"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
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Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
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- Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation with Exponentially Tilted Hellinger Distance," CIRANO Working Papers 2018s-38, CIRANO.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp18-06, Department of Economics, Simon Fraser University.
- Wilhelm, Daniel, 2015.
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Econometric Theory, Cambridge University Press, vol. 31(5), pages 1054-1077, October.
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Econometric Reviews, Taylor & Francis Journals, vol. 39(5), pages 495-509, May.
- Wang, Xuexin, 2016. "A New Class of Tests for Overidentifying Restrictions in Moment Condition Models," MPRA Paper 69004, University Library of Munich, Germany.
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Pierre Chausse, 2017. "Regularized Empirical Likelihood as a Solution to the No Moment," Working Papers 1708, University of Waterloo, Department of Economics, revised Nov 2017.
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- Stefan Boes, 2010. "Count Data Models with Correlated Unobserved Heterogeneity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 382-402, September.
- Hongyi Chen & Michael Funke & Andrew Tsang, 2016.
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Working Papers
152016, Hong Kong Institute for Monetary Research.
- Chen, Hongyi & Funke, Michael & Tsang, Andrew, 2016. "The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China," BOFIT Discussion Papers 11/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
- Lee, Seojeong, 2014.
"Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
- Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
- Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Papers 1806.01450, arXiv.org.
- Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers 15/14, Institute for Fiscal Studies.
- repec:zbw:bofitp:2016_011 is not listed on IDEAS
- Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
- Prosper Dovonon, 2016.
"Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 465-514, April.
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- Jose Blanchet & Yang Kang, 2021. "Sample Out-of-Sample Inference Based on Wasserstein Distance," Operations Research, INFORMS, vol. 69(3), pages 985-1013, May.
- Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
- Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
- Rachida Ouysse, 2011. "Computationally efficient approximation for the double bootstrap mean bias correction," Economics Bulletin, AccessEcon, vol. 31(3), pages 2388-2403.
- Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
- Hongyi Chen & Michael Funke & Andrew Tsang, 2016.
"The Diffusion and Dynamics of Producer Prices, Deflationary Pressure across Asian Countries, and the Role of China,"
Working Papers
152016, Hong Kong Institute for Monetary Research.
- Chen, Hongyi & Funke, Michael & Tsang, Andrew, 2016. "The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China," BOFIT Discussion Papers 11/2016, Bank of Finland, Institute for Economies in Transition.
- Chen, Hongyi & Funke, Michael & Tsang, Andrew, 2016. "The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China," BOFIT Discussion Papers 11/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
- repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
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Keywords
Generalized empirical likelihood estimator; Generalized method of moments; Monte Carlo simulation; No-moment problem;All these keywords.
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