GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION

By Patrik Guggenberger, Richard J. Smith. Econometric Theory, 2003

124 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f34b96f2e1c59b755dd73d7ae2284e62dbde0370

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Citations in the corpus

SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS (2006, unknown): “where βQ is the LAD estimator of β0, cα is the α- quantile of χ 2 2 distribution, and Λ is as in (19) with the kernel function given by the second-order kernel K1(u) = (15/16) (1 − u(2))(2)1 (|u| ≤ 1) , which was also used by Horowitz (1998).”
Hybrid and Size-Corrected Subsampling Methods (2007, methodology): “For example, for CIs based on post-conservative model selection estimators in regression models, Kabaila (1998) suggests a method of size-correction.”
Conditional Linear Combination Tests for Weakly Identified Models (2016, background): “for minimum distance models, and a number of statistics for GEL models discussed in Ramalho and Smith (2004), Guggenberger and Smith (2005), Otsu (2006), Guggenberger and Smith (2008), and Guggenberger, Ramalho, and Smith (2012) that are asymptotically equivalent to Generalized Empirical Likelihood ”
VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES (2009, background): “The next three Lemmas are analogues of Lemmas 7-9 of Guggenberger and Smith (2005) .”
Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator (2006, background): “For other GEL estimators, it can be shown that λ (β) exists with probability approaching 1, see NS and Guggenberger and Smith ( 2005 ).”
A new method of projection-based inference in GMM with weakly identified nuisance parameters (2011, methodology): “However, these assumptions are not different in nature from those in Stock and Wright (2000), Guggenberger and Smith (2005) and Kleibergen (2005).”
GMM with many weak moment conditions (2005, background): “Generalized empirical likelihood (GEL, Smith 1997) and other estimators have smaller bias but the usual standard errors are found to be too small in examples in Han and Phillips (2005) and here.”
Empirical Likelihood Methods in Econometrics: Theory and Practice (2006, methodology): “Empirical likelihood has been applied to the problem of weak instruments; see Caner (2003), Guggenberger and Smith (2005) and Otsu (2006).”
Consistent Estimation with a Large Number of Weak Instruments (2005, background): “…and Startz (1990), Bound, Jaeger and Baker (1995), Staiger and Stock (1997), Wang and Zivot (1998), Kleibergen (2002), Bekker and Kleibergen (2003), Guggenberger and Smith (2003), Moreira (2003) and the references cited therein. estimation accuracy, since using a large number of instruments can…”
On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression (2012, background): “…by replacing the unrestricted structural parameters by consistently estimated counterparts; see Stock and Wright (2000), Kleibergen (2004, 2005), Guggenberger and Smith (2005), Otsu (2006), and Guggenberger, Ramalho, and Smith (2012), among others, for such adaptations of the AR, LM, and CLR…”
Divergences and Duality for Estimation and Test under Moment Condition Models (2010, methodology): “Hansen et al. (1996) introduced the continuous updating (CU) estimate. The empirical likelihood (EL) approach, developed by Owen (1988) and Owen (1990), has been investigated in the context of model (1.1) by Qin and Lawless (1994) and Imbens (1997) introducing the EL estimate.”