Abstract
The search for one-step alternatives to the generalized method of moment (GMM) has identified broad classes of potential estimators such as generalized empirical likelihoods (GEL), empirical cressie-read (ECR), exponentially tilted empirical likelihood (ETEL), and minimum discrepancy (MD) estimators. While empirical likelihood (EL) dominates other ECR estimators in terms of higher-order asymptotics, it lacks robustness to model misspecification. ETEL was shown to combine higher-order efficiency and robustness to misspecification but demands strong moment generating function existence conditions. We show, both theoretically and via simulations, how to achieve the same goal under weaker moment existence conditions within the class of MD estimators.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
