Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
Francesco Bravo ()
Econometrics Journal, 2009, vol. 12, issue 2, pages 208-231
This paper shows how the blockwise generalized empirical likelihood method can be used to obtain valid asymptotic inference in non-linear dynamic moment conditions models for possibly non-stationary weakly dependent stochastic processes. The results of this paper can be used to construct test statistics for overidentifying moment restrictions, for additional moments, and for parametric restrictions expressed in mixed implicit and constraint form. Monte Carlo simulations seem to suggest that some of the proposed test statistics have competitive finite sample properties. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009
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Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:12:y:2009:i:2:p:208-231
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