Jinyuan Chang, Zhentao Shi, Jia Zhang
arXiv 7 Aug 2021 · Econometrics · publishedJournal of Business and Economic Statistics (2022) · 3 citations (OpenAlex)
arXiv:2108.03382 · PDF · DOI · OpenAlex · Extracted main text
Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of valid moments can potentially improve estimation efficiency, in the meantime a few invalid ones may undermine consistency. This paper investigates the empirical likelihood estimation of these moment-defined models in high-dimensional settings. We propose a penalized empirical likelihood (PEL) estimation and establish its oracle property with consistent detection of invalid moments. The PEL estimator is asymptotically normally distributed, and a projected PEL procedure further eliminates its asymptotic bias and provides more accurate normal approximation to the finite sample behavior. Simulation exercises demonstrate excellent numerical performance of these methods in estimation and inference.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Liao (2013) `Adaptive gmm shrinkage estimation with consistent moment selection', Econometric Theory 29(5), 857–904 | 1.000 | 9 | 4 | 100% |
| 2 | Cheng \ Liao (2015) `Select the valid and relevant moments: An information-based lasso for gmm with many moments', Journal of Econometrics 186(2), 4… | 0.874 | 5 | 2 | 100% |
| 3 | Chang, Chen, Tang \ Wu (2021) `High-dimensional empirical likelihood inference', Biometrika 108(1), 127–147 | 0.860 | 11 | 3 | 64% |
| 4 | Fan \ Li (2001) `Variable selection via nonconcave penalized likelihood and its oracle properties', Journal of the American Statistical Associat… | 0.843 | 3 | 3 | 100% |
| 5 | Chang, Tang \ Wu (2018) `A new scope of penalized empirical likelihood with high-dimensional estimating equations', The Annals of Statistics 46(6B), 318… | 0.794 | 24 | 5 | 50% |
| 6 | Chang, Chen \ Chen (2015) `High dimensional generalized empirical likelihood for moment restrictions with dependent data', Journal of Econometrics 185(1),… | 0.644 | 2 | 2 | 100% |
| 7 | Qin \ Lawless (1994) `Empirical likelihood and general estimating equations', The Annals of Statistics 22(1), 300–325 | 0.644 | 2 | 2 | 100% |
| 8 | Angrist (1990) `Lifetime earnings and the vietnam era draft lottery: Evidence from social security administrative records', The American Econom… | 0.644 | 2 | 2 | 100% |
| 9 | Eaton, Kortum \ Kramarz (2011) `An anatomy of international trade: Evidence from french firms', Econometrica 79(5), 1453–1498 | 0.644 | 2 | 2 | 100% |
| 10 | Hansen (1982) `Large sample properties of generalized method of moments estimators', Econometrica 50(4), 1029–1054 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 79 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates | 0.405 | 1 | 1 |
| 2 | Bayesian Penalized Empirical Likelihood and Markov Chain Monte Carlo Sampling | 0.405 | 1 | 1 |