Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators

Taisuke Otsu
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Taisuke Otsu: Cowles Foundation, Yale University, https://cowles.yale.edu/

No 1783, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper studies large deviation properties of the generalized method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.

Keywords: Generalized method of moments; Empirical likelihood; Large deviations (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2011-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (4)

Published in Econometrics Journal (2011), 14(2): 321-329

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Journal Article: Large deviations of generalized method of moments and empirical likelihood estimators (2011)
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