Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

  title={Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators},
  author={Whitney Newey and Richard J. Smith},
In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a common structure, being members of a class of generalized empirical likelihood (GEL) estimators. We use this structure to compare their higher order asymptotic properties. We find that GEL has no… 
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