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- Title
Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models.
- Authors
BRAVO, FRANCESCO
- Abstract
This paper shows how the blockwise generalized empirical likelihood method can be used to obtain valid asymptotic inference in non-linear dynamic moment conditions models for possibly non-stationary weakly dependent stochastic processes. The results of this paper can be used to construct test statistics for overidentifying moment restrictions, for additional moments, and for parametric restrictions expressed in mixed implicit and constraint form. Monte Carlo simulations seem to suggest that some of the proposed test statistics have competitive finite sample properties.
- Subjects
ECONOMETRICS; MONTE Carlo method; ESTIMATION theory; NONLINEAR functional analysis; NUMERICAL analysis
- Publication
Econometrics Journal, 2009, Vol 12, Issue 2, p208
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2009.00286.x