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Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator

Guggenberger, Patrik - In: Econometric reviews 27 (2008) 4/6, pp. 526-541

Persistent link: https://www.econbiz.de/10003761331

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

Guggenberger, Patrik (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835864

Generalized empirical likelihood estimators and tests under partial, weak, and strong identification

Guggenberger, Patrik; Smith, Richard J. - In: Econometric theory 21 (2005) 4, pp. 667-709

Persistent link: https://www.econbiz.de/10003004703

Generalized empirical likelihood tests in time models with potential identification failure

Guggenberger, Patrik (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002741444

Validity of Subsampling and 'Plug-In Asymptotic' Inference for Parameters Defined by Moment Inequalities

Andrews, Donald W. K.; Guggenberger, Patrik - 2007

This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and plug-in asymptotic tests...

Persistent link: https://www.econbiz.de/10014225158

Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 2018

This paper introduces a new identiﬁcation- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identiﬁcation- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute....

Persistent link: https://www.econbiz.de/10012909479