Culling the Herd of Moments with Penalized Empirical Likelihood
Bibliographic Data
| ID | 19419173 |
|---|---|
| Authors | Jinyuan Chang (0000-0001-7933-4449, Guizhou University of Finance and Economics), Zhentao Shi (0000-0002-7289-2840, Department of Economics, the Chinese University of Hong Kong, Sha Tin, New Territories, Hong Kong Special Administrative Region of China, corresponding author), Jia Zhang (0000-0003-1161-4836, Southwestern University of Finance and Economics), Zhang Jia (0000-0002-7107-7545, Southwestern University of Finance and Economics) |
| Year | 2023 |
| Volume | 41 |
| Issue | 3 |
| Pages | 791-805 |
| Publication date | 2023-07-03 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2022.2071903 |
| OpenAlex | W3189423543 |
| Language | EN |
| Citations received | 1 |
| References cited | 67 |
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 article 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
Asymptotic analysis · Econometrics · Economics · Empirical likelihood · Estimation · Estimator · Generalized method of moments · Inference · Mathematical optimization · Statistics · Computer Science · Economic Policies and Impacts · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference · Applied Mathematics · Artificial Intelligence
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| Citations per year | 1 |
|---|---|
| Citation span | 2025 - 2025 (1) |
| Highly cited | No |