Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators

This paper studies large deviation properties of the generalized 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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Year of publication:	2011-02
Authors:	Otsu, Taisuke
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Generalized method of moments \| Empirical likelihood \| Large deviations

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Econometrics Journal (2011), 14(2): 321-329 The price is None Number 1783 16 pages
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008838927