Search Results - subject:"Generalized empirical Likelihood"

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

empirical likelihood (GEL) provides the focus for the discussion. By defining an appropriate set of nonlinear moment conditions … respectively. Because the breadth of material covered by AS and K is so vast, we concentrate only on a few topics. Generalized … topics. Generalized empirical likelihood (GEL) provides the focus for the discussion. By defining an appropriate set of …

Persistent link: https://www.econbiz.de/10005811452

Local GEL methods for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

an Invited Paper entitled “Conditional Generalized Empirical Likelihood Es- timation” presented at the International … divergence family of discrepancies are members of a class of generalized empirical likelihood (GEL) estimators and have a common …

Persistent link: https://www.econbiz.de/10005727678

Can Rare Events Explain the Equity Premium Puzzle?

Ghosh, Anisha; Julliard, Christian - C.E.P.R. Discussion Papers - 2012

Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle unless one assumes that...

Persistent link: https://www.econbiz.de/10011084458

Hodges–Lehmann optimality for testing moment conditions

Canay, Ivan A.; Otsu, Taisuke - In: Journal of Econometrics 171 (2012) 1, pp. 45-53

empirical likelihood (GEL) tests are Hodges–Lehmann optimal under mild primitive conditions. These results support the belief … optimality but does satisfy our new conditions; and (ii) the generalized method of moments (GMM) test and the generalized …

Persistent link: https://www.econbiz.de/10010594969

Edgeworth expansions for GEL estimators

Kundhi, Gubhinder; Rilstone, Paul - In: Journal of Multivariate Analysis 106 (2012) C, pp. 118-146

Finite sample approximations for the distribution functions of Generalized Empirical Likelihood (GEL) are derived using …

Persistent link: https://www.econbiz.de/10010572291

GEL criteria for moment condition models

Smith, Richard J. - 2004

GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM...

Persistent link: https://www.econbiz.de/10010318470

Rational trader risk

Kondor, Peter - London School of Economics (LSE) - 2004

Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders...

Persistent link: https://www.econbiz.de/10010884635

GEL Criteria for Moment Condition Models

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2004

Persistent link: https://www.econbiz.de/10005727654

Generalized empirical likelihood estimamtors and tests under partial, weaks and strong identification

Guggenberger, Patrik; Smith, Richard J. - 2003

The principal purpose of this paper is to describe the performance of generalized empirical likelihood (GEL) methods …

Persistent link: https://www.econbiz.de/10010318480

Words that shake traders

Rosa, Carlo - In: Journal of Empirical Finance 18 (2011) 5, pp. 915-934

estimators, such as the Generalized Empirical Likelihood, and I extend the sample to include the recent period of heightened …

Persistent link: https://www.econbiz.de/10010572332