Research Article Open Access

EMPIRICAL LIKELIHOOD ESTIMATION BASED ON SIMULATED MOMENT CONDITIONS

Xing Wang1
  • 1 Durham University Business School, United Kingdom

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.

Journal of Mathematics and Statistics
Volume 10 No. 2, 2014, 111-116

DOI: https://doi.org/10.3844/jmssp.2014.111.116

Submitted On: 22 January 2014 Published On: 17 February 2014

How to Cite: 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

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Keywords

  • Empirical Likelihood
  • Simulated Moments
  • Importance Sampling