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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- Partial requirement for: Ph. D., Arizona State University, 2013Note typethesis
- Includes bibliographical references (p. 59-61)Note typebibliography
- Field of study: Economics