skip to content

Faculty of Economics

Journal Cover

Smith, R. J. and Parente, P. M. D. C.

GEL methods for nonsmooth moment indicators

Econometric Theory

Abstract: This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of estimators for models specified by nonsmooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient generalized method of moments (GMM) estimator that may suffer from substantial biases in finite samples. These include empirical likelihood (EL), exponential tilting (ET), and the continuous updating estimator (CUE). This paper also establishes the validity of tests suggested in the smooth moment indicators case for overidentifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix that may be problematic for the sample sizes typically encountered in practice.

Author links: Richard Smith  

Publisher's Link: http://search.proquest.com/docview/847537483/13FD77EC4974A907165/5?accountid=9851



Papers and Publications



Recent Publications


Elliott, M. and Golub, B. A network approach to public goods accepted, Journal of Political Economy [2018]

Gagnon, J. and Goyal, S. Networks, markets and inequality American Economic Review [2017]

Jochmans, K., and Weidner, M. Fixed-Effect Regressions on Network Data Econometrica, forthcoming [2019]