Gel Estimation and Inference with Non-Smooth Moment Indicators and Dynamic Data

Gordon Kemp ()

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: In this paper we demonstrate consistency and asymptotic normality for Generalized Empirical Likelihood (GEL) estimation in dynamic models when the moment indicators being used are the non-differentiable functions of the parameters of interest.

New Economics Papers: this item is included in nep-ecm
Date: 2007-09-28

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