Chang, Jinyuan and Chen, Song Xi and Chen, Xiaohong (2014): High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data. Forthcoming in: Journal of Econometrics

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Abstract
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The consistency with rates and the asymptotic normality of the GEL estimator are obtained by properly restricting the growth rates of the dimensions of the parameters and the moment restrictions, as well as the degree of data dependence. It is shown that even in the high dimensional time series setting, the GEL ratio can still behave like a chisquare random variable asymptotically. A consistent test for the overidentification is proposed. A penalized GEL method is also provided for estimation under sparsity setting.
Item Type:  MPRA Paper 

Original Title:  High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data 
English Title:  High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data 
Language:  English 
Keywords:  Generalized empirical likelihood; High dimensionality; Penalized likelihood; Variable selection; Overidentification test; Weak dependence. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General 
Item ID:  59640 
Depositing User:  Professor Song Xi Chen 
Date Deposited:  04 Nov 2014 05:43 
Last Modified:  26 Sep 2019 08:47 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/59640 