GMM, Generalized Empirical Likelihood, and Time Series

Federico Crudu ()

Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

Abstract: In this paper we extend the results of Kitamura (1997) for BEL to the more general class of GEL estimators. The resulting BGEL estimator is proved to be consistent and asymptotically normal and attains the semiparametric lower bound. In addition, we define the BGEL version of the classical trinity of tests, Wald, Lagrange Multiplier, and Likelihood Ratio tests. The resulting tests are as expected chi square distributed. We find via Monte Carlo experiments that the overidentification tests that stem from the BGEL estimator have generally better small sample properties than the J test.

JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-ets
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https://crenos.unica.it/crenos/sites/default/files/WP_09-12.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:cns:cnscwp:200912

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