Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

This paper proposes an asymptotically efficient method for estimating models with conditional moment restrictions. Our estimator generalizes the maximum empirical likelihood estimator (MELE) of Qin and Lawless (1994). Using a kernel smoothing method, we efficiently incorporate the information implie...

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Veröffentlicht in:	Econometrica 2004-11, Vol.72 (6), p.1667-1714
Hauptverfasser:	Kitamura, Yuichi, Tripathi, Gautam, Ahn, Hyungtaik
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Conditional moment restrictions Consistent estimators Distribution theory Econometrics Economic efficiency Economic models Economic theory empirical likelihood Estimating techniques Estimation Estimation methods Estimators Exact sciences and technology Game theory Instrumental variables estimation Insurance, economics, finance kernel smoothing Linear inference, regression Mathematics Method of moments Methods Nonparametric inference Objective functions Probability and statistics Restrictions Sciences and techniques of general use Scientific method Statistical variance Statistics Studies
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