Culling the Herd of Moments with Penalized Empirical Likelihood | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

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Culling the Herd of Moments with Penalized Empirical Likelihood

Chang, Jinyuan - Nama Orang; Shi, Zhentao - Nama Orang; Zhang, Jia - Nama Orang;

Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of valid moments can potentially improve estimation efficiency, in the meantime a few invalid ones may undermine consistency. This article investigates the empirical likelihood estimation of these moment-defined models in high-dimensional settings. We propose a penalized empirical likelihood (PEL) estimation and establish its oracle property with consistent detection of invalid moments. The PEL estimator is asymptotically normally distributed, and a projected PEL procedure further eliminates its asymptotic bias and provides more accurate normal approximation to the finite sample behavior. Simulation exercises demonstrate excellent numerical performance of these methods in estimation and inference.

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Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
art147122	null	Artikel		Gdg9-Lt3	Tersedia namun tidak untuk dipinjamkan - No Loan

Informasi Detail

Judul Seri: JOURNAL OF BUSINESS & ECONOMIC STATISTICS; Vol.41 No.3 July 2023
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 791-805
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: PENALIZED LIKELIHOOD
MISSPECIFICATION
EMPIRICAL LIKELIHOOD
ESTIMATING EQUATIONS
HIGH-DIMENSIONAL STATISTICAL METHODS
MOMENT SELECTION
Info Detail Spesifik: https://doi.org/10.1080/07350015.2022.2071903
Pernyataan Tanggungjawab: Jinyuan Chang, Zhentao Shi, Jia Zhang

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