Empirical Likelihood Methods in Econometrics: Theory and Practice

By Y. Kitamura. 2006

186 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b81a925052fcc2fff208c3437a2f1f63da00c56d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Statistics and Probability

Citations in the corpus

SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES (2009, background): “Kitamura (2006) presents empirical likelihood-based approaches that are suitable for estimating the parameters defined through a set of unconditional moment restrictions with time-series data.”
Assessing misspecified asset pricing models with empirical likelihood estimators (2012, unknown): “We make use of duality theory (see Kitamura, 2006, and Borwein and Lewis, 1991) to estimate this MD probability measure and its distance to the proxy y, by solving simpler finite-dimensional problems.”
Empirical Likelihood Estimation Using Auxiliary Summary Information with Different Covariate Distributions (2019, unknown): “A more reliable implementation is to consider the saddle-point representation of β̂EL1 and β̂EL2, as recommended in the empirical likelihood literature (e.g., Owen (2001); Imbens (2002); Kitamura (2007)).”
Efficient information theoretic inference for conditional moment restrictions (2005, unknown): “In an interesting recent contribution Kitamura (2005) characterises a class of criteria based on a general entropy function using an information theoretic argument which exploits Fenchel duality, see Borwein and Lewis (1991).”
GEL CRITERIA FOR MOMENT CONDITION MODELS (2011, unknown): “A recent survey and associated discussion of empirical likelihood and related methods may be found in Kitamura (2007) and Smith (2007), respectively. 2. An alternative approach for EL estimation in the time series context is suggested in Kitamura (1997) using blockwise EL, which should be adaptable ”
Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST) (2016, background): “restriction (equation ( 22 ) in the main text) implies the population equality”
Robustness, Infinitesimal Neighborhoods, and Moment Restrictions (2009, background): “By convex duality theory (Kitamura (2006)), the objective function has the following representation: inf P∈Pθ H (P, Pn) = max γ∈Rm − 1 n n∑ i=1 1 1 + γ′g (xi, θ) Therefore the MHDE is θ̂ = arg minθ∈Θ maxγ∈Rm − 1n ∑n i=1 1 1+γ′g(xi,θ) , which is easy to compute.”
Information and Entropy Econometrics - A Review and Synthesis (2008, methodology): “Application of large deviations in econometrics, within IEE can be found in the work of Stutzer (2000, 2003a,c), Kitamura and Stutzer (2002), and Kitamura (2006). The above list of topics reflects many of the issues studied within IEE, but is not comprehensive. Interested readers can find good compl”
Can Rare Events Explain the Equity Premium Puzzle (2008, methodology): “…in the sample a so called peso phenomenon 3This is due both to the Large Deviations properties of our estimation and testing approaches (see e.g. Kitamura (2006)), and to the weak law of large numbers for rare events rationale for estimators based on relative entropy minimization (Brown and…”
High dimensional generalized empirical likelihood for moment restrictions with dependent data (2013, background): “See Owen (2001), Kitamura (2007) and Chen and Van Keilegom (2009) for reviews.”