On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions

By Y. Kitamura, Andrés Santos, A. Shaikh. 2001

131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a29710cdc57a75e1347a52db6aa088e2be190cb6

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Citations in the corpus

Efficient information theoretic inference for conditional moment restrictions (2005, unknown): “ditional context, NS also describe the higher order efficiency of bias-corrected EL. Also see Kitamura (2001) .”
Assessing misspecified asset pricing models with empirical likelihood estimators (2012, unknown): “…that are robust against distributional assumptions and that possess good properties analogous to those of parametric likelihood procedures (see Kitamura, 2001, 2006).2 In particular, Stutzer (1995) and Kitamura and Stutzer (2002) have suggested the use of relative entropy to develop a…”
Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood" (2005, unknown): “n n1/2(βˆ−β∗)→d N(0,Γ−1Φ(Γ′)−1). 4. Simulations. We ﬁrst illustrate the fact that ETEL has the same O(n−1) bias as EL. We use the simple experimental design suggested in [19] and subsequently used in [30, 33], slightly expanded to have Kmoment conditions rather than two. The moment conditions are g(”
Divergences and Duality for Estimation and Test under Moment Condition Models (2010, unknown): “st statistics under the alternatives is the starting point for the study of the optimality of the tests throughBahadurapproach; alsothe generalized Neyman-Pearson optimality ofELtest (as developed by Kitamura (2001)) can be adapted for empirical divergence based methods. 28 MICHELBRONIATOWSKI 1ANDAM”
EL inference for partially identified models: Large deviations optimality and bootstrap validity (2010, methodology): “Theorem 3.2 is an analog result to those in Kitamura (2001) and Kitamura et al. (2009), although with important 15 A completely different approach would be to use the notion of δ-optimality as in Zeitouni and Gutman (1991).”
On the second-order properties of empirical likelihood with moment restrictions (2007, background): “Testing is considered in Kitamura (2001) for moments restrictions, and Tripathi and Kitamura (2002) for conditional moment restrictions.”
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION (2011, unknown): “The CUE was introduced by Hansen, Heaton, and Yaron (1996), EL by Owen (1988), Qin and Lawless (1994), Imbens (1997), and Kitamura (2001), and ET by Kitamura and Stutzer (1997) and Imbens, Spady, and Johnson (1998).”