Exponentially tilted likelihood inference on growing dimensional unconditional moment models

@inproceedings{Tang2016ExponentiallyTL,
  title={Exponentially tilted likelihood inference on growing dimensional unconditional moment models},
  author={Nian-Sheng Tang and Xiao-Dong Yan and Pu-Ying Zhao},
  year={2016}
}
Growing-dimensional data with likelihood unavailable are often encountered in various fields. This paper presents a penalized exponentially tilted likelihood (PETL) for variable selection and parameter estimation for growing dimensional unconditional moment models in the presence of correlation among variables and model misspecifica- tion. Under some regularity conditions, we investigate the consistent and oracle proper- ties of the PETL estimators of parameters, and show that the constrainedly… CONTINUE READING
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