Regularized Empirical Likelihood as a Solution to the No Moment

Pierre Chausse

No 1708, Working Papers from University of Waterloo, Department of Economics

Abstract: In this paper, we explore the finite sample properties of the generalized empirical likelihood for a continuum, applied to a linear model with endogenous regressors and many discrete moment conditions. In particular, we show that the estimator from this regularized version of GEL has finite moments. It therefore solves the issue regarding the no moment problem of empirical likelihood. We propose a data driven method to select the regularization parameter based on a cross validation criterion, and show that the method outperforms many existing methods when the number of instruments exceeds 20.

JEL-codes: C13 C30 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2017-11, Revised 2017-11
New Economics Papers: this item is included in nep-ecm and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:wat:wpaper:1708

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