arXiv 23 Mar 2026 · Econometrics
arXiv:2603.22599 · PDF · DOI · OpenAlex · Extracted main text
We study Cressie Read power divergence (CRPD) estimation for moment based models, focusing on finite sample behavior. While generalized empirical likelihood estimators, dual to CRPD, are known to outperform generalized method of moments estimators in small to moderate samples, the power parameter is typically chosen arbitrarily by the researcher, serving mainly as an index. We interpret it as a hyperparameter that determines the loss function and governs the learning procedure, shaping the curvature of the objective and influencing finite sample performance. Using second order asymptotics, we show that it affects both the structural estimator and the associated Lagrange multipliers, governing robustness, bias, and sensitivity to sampling variation. Monte Carlo simulations illustrate how estimator performance varies with the choice of the power parameter and underlying distributional features, with implications for second order bias and coverage distortion. An empirical illustration based on Owen (2001)s classical example highlights the practical relevance of tuning the power parameter.
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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 | Schennach, S (2007) Point estimation with exponentially tilted empirical likelihood | 0.811 | 4 | 2 | 100% |
| 2 | Newey, W. K. and Smith, R. J (2004) Higher order properties of GMM and generalized empirical likelihood estimators | 0.644 | 4 | 1 | 100% |
| 3 | Cressie, Noel and Timothy RC Read (1984) Multinomial goodness-of-fit tests | 0.644 | 2 | 2 | 100% |
| 4 | Huber, P. and Ronchetti, E (2009) Robust Statistics | 0.511 | 2 | 1 | 100% |
| 5 | Hansen, L. and Heaton, J. and Yaron, A (1996) Finite-Sample Properties of Some tive GMM Estimators | 0.405 | 1 | 1 | 100% |
| 6 | Huber, P (1964) Robust Estimation of a Location Parameter | 0.405 | 1 | 1 | 100% |
| 7 | Huber, P (1973) Robust regression: asymptotics, conjectures and Monte Carlo | 0.405 | 1 | 1 | 100% |
| 8 | Imbens, G. W. and Spady, R. H. and Johnson, P (1998) Information theoretic approaches to inference in moment conditions models | 0.405 | 1 | 1 | 100% |
| 9 | Kitamura, Y. and Stutzer, M (1997) An information-theoretic alternative to generalized method of moments estimation | 0.405 | 1 | 1 | 100% |
| 10 | Owen, A. B (1988) Empirical likelihood ratio confidence intervals for a single functional | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 14 scored citations.