JSM 2005 - Toronto

Abstract #302640

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 303
Type: Invited
Date/Time: Tuesday, August 9, 2005 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #302640
Title: Many Weak Moment Asymptotics for Generalized Empirical Likelihood Estimators
Author(s): Whitney Newey*+
Companies: Massachusetts Institute of Technology
Address: Department of Economics, E52-262D, Cambridge, MA, 02139,
Keywords: Generalized Empirical Likelihood ; Many Moments
Abstract:

It is common and useful in applications to use many moment conditions that provide weak information about parameters of interest. This paper develops asymptotic theory for generalized empirical likelihood estimators in this setting. We find the estimators are asymptotically normal, but with an asymptotic variance that is bigger than the usual sandwich formula. We give a consistent estimator of this larger asymptotic variance. We also show in Monte Carlo examples that this variance adjustment accounts well for many moment conditions, leading to tests that have exact size much closer to their nominal value than the usual sandwich formula.

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