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High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood Variable selec- tion
2016/1/26
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood
2016/1/20
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
On generalized empirical likelihood methods
Empirical likelihood Generalized Empirical likelihood Minimum divergence Effi-ciency Duality Divergence projection
2010/3/10
We introduce estimation and test procedures through divergence minimization for
models satisfying linear constraints with unknown parameter. These procedures extend the em-
pirical likelihood (EL) m...