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Schennach (2007) has shown that the Empirical Likelihood (EL) estimator may not be asymptotically normal when a misspecified model is estimated. This problem occurs because the empirical probabilities of individual

Schennach (2007) has shown that the Empirical Likelihood (EL) estimator may not be asymptotically normal when a misspecified model is estimated. This problem occurs because the empirical probabilities of individual observations are restricted to be positive. I find that even the EL estimator computed without the restriction can fail to be asymptotically normal for misspecified models if the sample moments weighted by unrestricted empirical probabilities do not have finite population moments.

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    Date Created
    • 2013
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  • Text
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    • Partial requirement for: Ph. D., Arizona State University, 2013
      Note type
      thesis
    • Includes bibliographical references (p. 59-61)
      Note type
      bibliography
    • Field of study: Economics

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    by Jin Xiang

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