Large deviations of generalized method of moments and empirical likelihood estimators

Taisuke Otsu

doi:10.1111/j.1368-423X.2011.00346.x

Large deviations of generalized method of moments and empirical likelihood estimators

Research output: Contribution to journal › Article › peer-review

Abstract

This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.

Original language	English
Pages (from-to)	321-329
Number of pages	9
Journal	Econometrics Journal
Volume	14
Issue number	2
DOIs	https://doi.org/10.1111/j.1368-423X.2011.00346.x
Publication status	Published - 2011 Jul
Externally published	Yes

Keywords

Empirical likelihood
Generalized method of moments
Large deviations.

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/j.1368-423X.2011.00346.x

Cite this

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abstract = "This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.",

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Large deviations of generalized method of moments and empirical likelihood estimators

Abstract

Keywords

ASJC Scopus subject areas

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