IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v117y2003i1p55-93.html
   My bibliography  Save this item

Empirical likelihood estimation and consistent tests with conditional moment restrictions

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
  2. Tomohiro Ando & Naoya Sueishi, 2019. "On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator," Econometrics, MDPI, vol. 7(1), pages 1-14, March.
  3. 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.
  4. Chang, Jinyuan & Chen, Song Xi & Chen, Xiaohong, 2015. "High dimensional generalized empirical likelihood for moment restrictions with dependent data," Journal of Econometrics, Elsevier, vol. 185(1), pages 283-304.
  5. Michis Antonis A, 2009. "Regression Analysis of Marketing Time Series: A Wavelet Approach with Some Frequency Domain Insights," Review of Marketing Science, De Gruyter, vol. 7(1), pages 1-43, July.
  6. repec:hal:spmain:info:hdl:2441/75dbbb2hc596np6q8flqf6i79k is not listed on IDEAS
  7. Horowitz, Joel L. & Lee, Sokbae, 2009. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," Journal of Econometrics, Elsevier, vol. 152(2), pages 141-152, October.
  8. Anatolyev, Stanislav, 2012. "Inference in regression models with many regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
  9. Koen Jochmans, 2017. "Two-Way Models for Gravity," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 478-485, July.
  10. Zhipeng Liao & Xiaoxia Shi, 2020. "A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models," Quantitative Economics, Econometric Society, vol. 11(3), pages 983-1017, July.
  11. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, vol. 177(1), pages 47-59.
  12. Siddhartha Chib & Minchul Shin & Anna Simoni, 2022. "Bayesian estimation and comparison of conditional moment models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 740-764, July.
  13. Daniel Becker & Alois Kneip & Valentin Patilea, 2021. "Semiparametric inference for partially linear regressions with Box-Cox transformation," Papers 2106.10723, arXiv.org.
  14. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2023. "Optimal minimax rates of specification testing with data-driven bandwidth," Econometric Reviews, Taylor & Francis Journals, vol. 42(6), pages 487-512, June.
  15. Sueishi, Naoya, 2016. "A simple derivation of the efficiency bound for conditional moment restriction models," Economics Letters, Elsevier, vol. 138(C), pages 57-59.
  16. Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
  17. Pierre Chausse & George Luta, 2017. "Casual Inference using Generalized Empirical Likelihood Methods," Working Papers 1707, University of Waterloo, Department of Economics, revised Dec 2017.
  18. Krikamol Muandet & Wittawat Jitkrittum & Jonas Kubler, 2020. "Kernel Conditional Moment Test via Maximum Moment Restriction," Papers 2002.09225, arXiv.org, revised Jun 2020.
  19. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  20. Hyunseok Jung & Xiaodong Liu, 2023. "Testing for Peer Effects without Specifying the Network Structure," Papers 2306.09806, arXiv.org, revised Jul 2024.
  21. Ying Sheng & Yifei Sun & Chiung‐Yu Huang & Mi‐Ok Kim, 2022. "Synthesizing external aggregated information in the presence of population heterogeneity: A penalized empirical likelihood approach," Biometrics, The International Biometric Society, vol. 78(2), pages 679-690, June.
  22. Whang, Yoon-Jae, 2006. "Smoothed Empirical Likelihood Methods For Quantile Regression Models," Econometric Theory, Cambridge University Press, vol. 22(2), pages 173-205, April.
  23. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2022. "Optimal minimax rates against nonsmooth alternatives [Optimal testing for additivity in multiple nonparametric regression]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 322-339.
  24. Christoph Breunig, 2019. "Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression," Papers 1909.10133, arXiv.org.
  25. Xiaohong Chen & Yin Jia Jeff Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
  26. Tao, Jing, 2020. "Trinity tests of functions for conditional moment models," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  27. Jinyong Hahn & Ruoyao Shi, 2021. "Breusch and Pagan’s (1980) Test Revisited," Working Papers 202110, University of California at Riverside, Department of Economics.
  28. Pedro H. C. Sant'Anna & Xiaojun Song & Qi Xu, 2022. "Covariate distribution balance via propensity scores," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1093-1120, September.
  29. Whitney K. Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  30. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  31. Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
  32. Lu, Zhentong & Shi, Xiaoxia & Tao, Jing, 2023. "Semi-nonparametric estimation of random coefficients logit model for aggregate demand," Journal of Econometrics, Elsevier, vol. 235(2), pages 2245-2265.
  33. R H Spady & S Stouli, 2018. "Dual regression," Biometrika, Biometrika Trust, vol. 105(1), pages 1-18.
  34. Tue Gørgens & Allan Würtz, 2012. "Testing a parametric function against a non‐parametric alternative in IV and GMM settings," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 462-489, October.
  35. Mayer, Alexander, 2022. "On the local power of some tests of strict exogeneity in linear fixed effects models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 49-74.
  36. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2009. "Choosing instrumental variables in conditional moment restriction models," Journal of Econometrics, Elsevier, vol. 152(1), pages 28-36, September.
  37. Lavergne, Pascal & Nguimkeu, Pierre, 2016. "A Hausman Specification Test of Conditional Moment Restrictions," TSE Working Papers 16-743, Toulouse School of Economics (TSE).
  38. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2018. "Nonparametric estimation in case of endogenous selection," Journal of Econometrics, Elsevier, vol. 202(2), pages 268-285.
  39. Breunig, Christoph, 2015. "Goodness-of-fit tests based on series estimators in nonparametric instrumental regression," Journal of Econometrics, Elsevier, vol. 184(2), pages 328-346.
  40. Smith, Richard J., 2007. "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 138(2), pages 430-460, June.
  41. Otsu, Taisuke & Seo, Myung Hwan & Whang, Yoon-Jae, 2012. "Testing for non-nested conditional moment restrictions using unconditional empirical likelihood," Journal of Econometrics, Elsevier, vol. 167(2), pages 370-382.
  42. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  43. Chen, Xiaohong & Pouzo, Demian & Powell, James L., 2019. "Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions," Journal of Econometrics, Elsevier, vol. 213(1), pages 30-53.
  44. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
  45. Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
  46. Marine Carrasco & Mohamed Doukali, 2022. "Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 71-97.
  47. Yu‐Chin Hsu & Xiaoxia Shi, 2017. "Model‐selection tests for conditional moment restriction models," Econometrics Journal, Royal Economic Society, vol. 20(1), pages 52-85, February.
  48. Jiafeng Chen & Xiaohong Chen & Elie Tamer, 2021. "Efficient Estimation in NPIV Models: A Comparison of Various Neural Networks-Based Estimators," Papers 2110.06763, arXiv.org, revised Oct 2022.
  49. Ashesh Rambachan & Rahul Singh & Davide Viviano, 2024. "Program Evaluation with Remotely Sensed Outcomes," Papers 2411.10959, arXiv.org.
  50. Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020. "Leave‐Out Estimation of Variance Components," Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
  51. Chirok Han & Peter C. B. Phillips, 2006. "GMM with Many Moment Conditions," Econometrica, Econometric Society, vol. 74(1), pages 147-192, January.
  52. Otsu, Taisuke & Whang, Yoon-Jae, 2011. "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, vol. 27(1), pages 114-153, February.
  53. Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1595-1631, December.
  54. Lucas Girard & Yannick Guyonvarch, 2024. "Bridging Methodologies: Angrist and Imbens' Contributions to Causal Identification," Papers 2402.13023, arXiv.org.
  55. Alexandre Belloni & Victor Chernozhukov, 2014. "Posterior inference in curved exponential families under increasing dimensions," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 75-100, June.
  56. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
  57. Yoonseok Lee & Ryo Okui, 2009. "A Specification Test for Instrumental Variables Regression with Many Instruments," Cowles Foundation Discussion Papers 1741, Cowles Foundation for Research in Economics, Yale University.
  58. Song Xi Chen & Jiti Gao, 2010. "Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models," School of Economics and Public Policy Working Papers 2010-28, University of Adelaide, School of Economics and Public Policy.
  59. Mayer, Alexander, 2020. "(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models," Economics Letters, Elsevier, vol. 193(C).
  60. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
  61. Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
  62. 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.
  63. Christopher D. Walker, 2024. "Semiparametric Bayesian Inference for a Conditional Moment Equality Model," Papers 2410.16017, arXiv.org.
  64. Poirier, Alexandre, 2017. "Efficient estimation in models with independence restrictions," Journal of Econometrics, Elsevier, vol. 196(1), pages 1-22.
  65. Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers 26/12, Institute for Fiscal Studies.
  66. Ivan Korolev, 2018. "A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models," Papers 1810.07620, arXiv.org, revised Nov 2019.
  67. Pascal Lavergne & Valentin Patilea, 2011. "One for All and All for One: Regression Checks With Many Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 41-52, January.
  68. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2018. "Rate Optimal Specification Test When the Number of Instruments is Large," KIER Working Papers 986, Kyoto University, Institute of Economic Research.
  69. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  70. Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007. "On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood," Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
  71. Chen, Song Xi & Cui, Hengjian, 2007. "On the second-order properties of empirical likelihood with moment restrictions," Journal of Econometrics, Elsevier, vol. 141(2), pages 492-516, December.
  72. Buchinsky, Moshe & Li, Fanghua & Liao, Zhipeng, 2022. "Estimation and inference of semiparametric models using data from several sources," Journal of Econometrics, Elsevier, vol. 226(1), pages 80-103.
  73. Richard Smith, 2005. "Local GEL methods for conditional moment restrictions," CeMMAP working papers CWP15/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  74. Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
  75. Gospodinov, Nikolay & Otsu, Taisuke, 2012. "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
  76. repec:spo:wpmain:info:hdl:2441/75dbbb2hc596np6q8flqf6i79k is not listed on IDEAS
  77. Demian Pouzo, 2014. "Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension," Papers 1411.2701, arXiv.org, revised Aug 2015.
  78. Nishihat, Masaya & Otsu, Taisuke, 2020. "Conditional GMM estimation for gravity models," LSE Research Online Documents on Economics 105083, London School of Economics and Political Science, LSE Library.
  79. Parente, Paulo M.D.C. & Smith, Richard J., 2017. "Tests of additional conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 200(1), pages 1-16.
  80. Lewbel, Arthur, 2007. "A local generalized method of moments estimator," Economics Letters, Elsevier, vol. 94(1), pages 124-128, January.
  81. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2011. "Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 87-99.
  82. Ivan Korolev, 2019. "A Consistent LM Type Specification Test for Semiparametric Panel Data Models," Papers 1909.05649, arXiv.org.
  83. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
  84. Breunig, Christoph, 2012. "Goodness-of-fit tests based on series estimators in nonparametric instrumental regression," Working Papers 12-13, University of Mannheim, Department of Economics.
  85. Kunyang Song & Feiyu Jiang & Ke Zhu, 2024. "Estimation for conditional moment models based on martingale difference divergence," Papers 2404.11092, arXiv.org.
  86. Gupta, Abhimanyu, 2018. "Nonparametric specification testing via the trinity of tests," Journal of Econometrics, Elsevier, vol. 203(1), pages 169-185.
  87. Jin, Fei & Lee, Lung-fei, 2019. "GEL estimation and tests of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 208(2), pages 585-612.
  88. Wang, Xuexin, 2015. "A Note on Consistent Conditional Moment Tests," MPRA Paper 69005, University Library of Munich, Germany.
  89. Gold, David & Lederer, Johannes & Tao, Jing, 2020. "Inference for high-dimensional instrumental variables regression," Journal of Econometrics, Elsevier, vol. 217(1), pages 79-111.
  90. Joel L. Horowitz, 2004. "Testing a parametric model against a nonparametric alternative with identification through instrumental variables," CeMMAP working papers 14/04, Institute for Fiscal Studies.
  91. Matthew Backus & Christopher Conlon & Michael Sinkinson, 2021. "Common Ownership and Competition in the Ready-to-Eat Cereal Industry," NBER Working Papers 28350, National Bureau of Economic Research, Inc.
  92. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  93. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
  94. repec:spo:wpecon:info:hdl:2441/75dbbb2hc596np6q8flqf6i79k is not listed on IDEAS
  95. Abhimanyu Gupta & Jungyoon Lee & Francesca Rossi, 2024. "Testing linearity of spatial interaction functions \`a la Ramsey," Papers 2412.14778, arXiv.org.
  96. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
  97. repec:hal:wpspec:info:hdl:2441/75dbbb2hc596np6q8flqf6i79k is not listed on IDEAS
  98. Berger, Yves G. & Patilea, Valentin, 2022. "A semi-parametric empirical likelihood approach for conditional estimating equations under endogenous selection," Econometrics and Statistics, Elsevier, vol. 24(C), pages 151-163.
  99. Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J., 2014. "Neglected heterogeneity in moment condition models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 86-100.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.