Empirical likelihood estimation and consistent tests with conditional moment restrictions

This paper is about efficient estimation and consistent tests of conditional moment restrictions. We use unconditional moment restrictions based on splines or other approximating functions for this purpose. Empirical likelihood estimation is particularly appropriate for this setting, because of its...

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Bibliographic Details
Published in:Journal of econometrics 2003-11, Vol.117 (1), p.55-93
Main Authors: Donald, Stephen G., Imbens, Guido W., Newey, Whitney K.
Format: Article
Language:English
Subjects:
Applications
Applied sciences
Approximations and expansions
Bias
Consistent specification testing
Econometrics
Efficiency
Empirical tests
Estimating techniques
Estimation
Exact sciences and technology
Generalized empirical likelihood
Generalized method of moments
Insurance, economics, finance
Mathematical analysis
Mathematics
Methodology
Model testing
Nonlinear instrumental variables
Nonparametric inference
Operational research and scientific management
Operational research. Management science
Probability
Probability and statistics
Restriction
Sciences and techniques of general use
Statistics
Studies
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Summary:This paper is about efficient estimation and consistent tests of conditional moment restrictions. We use unconditional moment restrictions based on splines or other approximating functions for this purpose. Empirical likelihood estimation is particularly appropriate for this setting, because of its relatively low bias with many moment conditions. We give conditions so that efficiency of estimators and consistency of tests is achieved as the number of restrictions grows with the sample size. We also give results for generalized empirical likelihood, generalized method of moments, and nonlinear instrumental variable estimators.
ISSN:0304-4076
1872-6895
DOI:10.1016/S0304-4076(03)00118-0