Document Type
Discussion Paper
Publication Date
2-1-2011
CFDP Number
1783
CFDP Pages
16
Abstract
This paper studies large deviation properties of the generalized method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.
Recommended Citation
Otsu, Taisuke, "Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators" (2011). Cowles Foundation Discussion Papers. 2124.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2124