Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

Yuichi Kitamura, Gautam Tripathi and Hyungtaik Ahn
Additional contact information
Yuichi Kitamura: Department of Economics, University of Wisconsin
Hyungtaik Ahn: Department of Economics, Dongguk University

No CIRJE-F-124, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper proposes an asymptotically efficient method for estimating models with conditional moment restrictions. Our estimator generalizes the maximum empirical likelihood estimator (MELE) of Qin and Lawless (1994). Using a kernel smoothing method, we efficiently incorporate the information implied by the conditional moment restrictions into our empirical likelihood-based procedure. This yields a one-step estimator which avoids estimating optimal instruments. Our likelihood ratio-type statistic for parametric restrictions does not require the estimation of variance, and achieves asymptotic pivotalness implicitly. The estimation and testing procedures we propose are normalization invariant. Simulation results suggest that our new estimator works remarkably well in finite samples.

Pages: 42 pages
Date: 2001-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (12)

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Journal Article: Empirical Likelihood-Based Inference in Conditional Moment Restriction Models (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2001cf124

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