This paper develops the adaptive elastic net GMM estimator in large dimensional models with potentially (locally) invalid moment conditions, where both the number of structural parameters and the number of moment conditions may increase with the sample size. The basic idea is to conduct the...

This article analyzes Generalized Empirical Likelihood (GEL) estimators and GMM under nearly singular design. This design relaxes the nonsingularity assumption of the limit weight matrix in GMM, and the nonsingularity of the limit variance matrix for the first order conditions in GEL. The sample...

This paper analyzes near exogeneity and weak identification in Generalized Empirical Likelihood Estimators. Near exogeneity and weak identification are related to the exogeneity and relevance of the instruments, respectively. These two issues are important from an applied perspective, such as...