Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura
Richard Smith ()
No CWP13/05, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura, henceforth A, S and K respectively. Because the breadth of material covered by AS and K is so vast, we concentrate only on a few topics. Generalized empirical likelihood (GEL) provides the focus for the discussion. By defining an appropriate set of nonlinear moment conditions, GEL estimation yields objects which mirror in an asymptotic sense those which form the basis of the exact theory in AS allowing the definition of asymptotically pivotal test statistics appropriate for weakly identified models, the acceptance regions of which may then be inverted to provide asymptotically valid con- fidence interval estimators for the parameters of interest. The general minimum distance approach of Corcoran (1998) which parallels the information theoretic development of EL in K is briefly reviewed. A new class of estimators mirroring Schennach (2004) is suggested which shares the same asymptotic bias properties of EL and possess a well-defined limit distribution under misspecification.
Keywords: Empirical Likelihood; Generalized Empirical Likelihood; Weak Identification; Minimum Distance; Asymptotic Bias; Higher Order Efficiency; Misspecification (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:13/05
Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Access Statistics for this paper
More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().