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An Information-Theoretic Alternative to Generalized Method of Moments Estimation
While optimally weighted generalized method of moments (GAM) estimation has desirable large sample properties, its small sample performance is poor in some applications. The authors propose aExpand
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Empirical likelihood methods with weakly dependent processes
This paper studies the method of empirical likelihood in models with weakly dependent processes. In such cases, if the likelihood function is formulated as if the data process were independent,Expand
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Empirical Likelihood Methods in Econometrics: Theory and Practice
Recent developments in empirical likelihood (EL) methods are reviewed. First, to put the method in perspective, two interpretations of empirical likelihood are presented, one as a nonparametricExpand
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Empirical Likelihood Based Inference in Conditional Moment Restriction Models
This paper proposes an asymptotically efficient method for estimating models with conditional moment restrictions. Our estimator generalizes the maximum empirical likelihood estimator (MELE) of QinExpand
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Nonparametric Estimation in Random Coefficients Binary Choice Models
This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problemExpand
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Testing conditional moment restrictions
Let (x, z) be a pair of observable random vectors. We construct a new smoothed empirical likelihood-based test for the hypothesis E{g(z, θ)|x} = 0 w.p.1, where g is a vector of known functions and θExpand
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Nonparametric Analysis of Random Utility Models
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions wasExpand
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Connections between Entropic and Linear Projections in Asset Pricing Estimation
The concept of entropy has a long and distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs aExpand
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On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
In this paper we make two contributions. First, we show by example that empirical likelihood and other commonly used tests for parametric moment restrictions, including the GMM-based J-test of HansenExpand
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Evaluating a Simple Method for Estimating Black-White Gaps in Median Wages
Racial differences in wage rates are important measures of economic inequality among races because, for almost all individuals, labor income constitutes the most important component of lifetimeExpand
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