Title of article
High dimensional generalized empirical likelihood for moment restrictions with dependent data
Author/Authors
Chang، نويسنده , , Jinyuan and Chen، نويسنده , , Song Xi and Chen، نويسنده , , Xiaohong، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2015
Pages
22
From page
283
To page
304
Abstract
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The consistency with rates and the asymptotic normality of the GEL estimator are obtained by properly restricting the growth rates of the dimensions of the parameters and the moment restrictions, as well as the degree of data dependence. It is shown that even in the high dimensional time series setting, the GEL ratio can still behave like a chi-square random variable asymptotically. A consistent test for the over-identification is proposed. A penalized GEL method is also provided for estimation under sparsity setting.
Keywords
Generalized empirical likelihood , High dimensionality , variable selection , weak dependence , Penalized likelihood , Over-identification test
Journal title
Journal of Econometrics
Serial Year
2015
Journal title
Journal of Econometrics
Record number
2129730
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