Empirical likelihood-based inference in conditional moment restriction models

Yuichi Kitamura, Gautam Tripathi, Hyungtaik Ahn

Research output: Contribution to journalArticlepeer-review

121 Scopus citations

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.

Original languageEnglish
Pages (from-to)1667-1714
Number of pages48
JournalEconometrica
Volume72
Issue number6
DOIs
StatePublished - Nov 2004

Keywords

  • Conditional moment restrictions
  • Empirical likelihood
  • Kernel smoothing

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