Empirical Likelihood Estimation Based on Simulated Moment Conditions

Wang, X.

Abstract

In this study we discuss the optimization of the Empirical Likelihood (EL) criterion function when the moment condition is nonstandard. We deal with this issue following the Method of Simulated Moment (MSM) introduced and we use importance sampling method to smooth discrete moment conditions. We have demonstrated the convergence and asymptotic normality of the empirical likelihood estimator from the simulated moment conditions.

Citation

Wang, X. (2014). Empirical Likelihood Estimation Based on Simulated Moment Conditions. Journal of mathematics and statistics, 10(2), 111-116. https://doi.org/10.3844/jmssp.2014.111.116

• Journal Article Type: Article
• Acceptance Date: Feb 16, 2014
• Online Publication Date: Feb 17, 2014
• Publication Date: Feb 17, 2014
• Deposit Date: Mar 9, 2017
• Publicly Available Date: Mar 10, 2017
• Journal: Journal of Mathematics and Statistics
• Print ISSN: 1549-3644
• Electronic ISSN: 1558-6359
• Publisher: Science Publications
• Peer Reviewed: Peer Reviewed
• Volume: 10
• Issue: 2
• Pages: 111-116
• DOI: https://doi.org/10.3844/jmssp.2014.111.116
• Public URL: https://durham-repository.worktribe.com/output/1391715