參考文獻 |
[1] Altonji, J.G., and L.M. Segal, 1996, Small-Sample Bias in GMM Estimation of Covariance
Structures," Journal of Business and Economic Statistics, 14, 353{366.
[2] Anatolyev, S., 2005, GMM, GEL, Serial Correlation and Asymptotic Bias," Econometrica, 73,
983{1002.
[3] Andrews, D.W.K., 1991, Heteroskedasticity and Autoclrrelation Consistent Covariance Matrix
Estimation," Econometrica, 59, 817{858.
[4] Akkeren, M., G. Judge, and R.C. Mittelhammer, 2002, Generalized Moment Based Estimation
and Inference," Journal of Econometrics, 107, 127{148.
[5] Arellano, M., and S. Bond, 1991, Some Tests of Speci cation for Panel Data: Monte Carlo
Evidence and an Application to Employment Eequations," Review of Economics and Statistics,
58, 277{298.
[6] Bera, A.K., and Y. Bilias, 2002, The MM, ME, ML, EL, EF and GMM approaches to estimation:
a synthesis," Journal of Econometrics, 107, 51{86.
[7] Blundell, R.W., and S.R. Bond, 1998, Initial Conditions and Moment Restrictions in Dynamic
Panel Data Models," Journal of Econometrics, 87, 115{143.
[8] Bond, S., C. Bowsher, and R. Windmeijer, 2001, Criterion-based Inference for GMM in Autoregressive
Panel Data Models," Economic Letter, 73, 379{388.
[9] Bond, S., and F. Windmeijer, 2005, Reliable Inference For GMM Estimator? Finite Sample
Properties of Alternative Test Procedures in Linear Panel Data Models," Econometric Reviews,
24, 1{37.
[10] Bound, J., D. Jaeger, and R. Baker, 1995, Problems with Instrumental Variable Estimation
When The Correlation Between The Instruments and The Endogenous Variables IsWeak," Journal
of the American Statistical Association, 90, 443{450.
[11] Burnside, C., and M. Eichenbaum, 1996, Small-Sample Properties of GMM-Based Wald Tests,"
Journal of Business and Statistics, 14, 294{308.
77
[12] Bravo, F., 2005, Blockwise Empirical Entropy Tests for Time Series Regressions," Journal of
Time Series Analysis, 26, 185{210.
[13] Brown, B.W., and W.K., Newey, 1998, E cient Semiparametric Estimation of Expectations,"
Econometrica, 66, 453{464.
[14] Brown, B.W., and W.K. Newey, 2002, Generalized Method of Mements, E cient Bootstrapping,
and Improved Inference," Journal of Business and Economic Statistics, 20, 507{517.
[15] Chamberlian, G., 1987, Aaymptotic E ciency In Estimation with Conditional Moment Restrictions,"
Journal of Econometrics, 34, 305{334.
[16] Corcoran, S.A., 1998, Bartlett Adjustment of Empirical Discrepancy Statistics," Biometrika, 85,
967{972.
[17] Cressie, N., and T. Read, 1984, Multinomial Goodness-of-Fit Tests," Journal of the Royal
Statistical Society, Series B, 46, 440{464.
[18] Carlstein, E., 1986, The Use of Subseries Methods for Estimating The Variance of A General
Statistic from A Stationary Time Series," Annals of Statistics, 14, 1171{1179.
[19] Chen, N.H., and S. Ling, 2006, Empirical Likelihood for GARCH Models," Econometric Theory,
22, 403{428.
[20] Davidson, R., and J.G. MacKinnon, 2004, Econometric Theory and Methods," Oxford University
Press.
[21] DiCiccio, T.J., and J.P. Ramano, 1990, Nonparametric Con dence-Limits by Resampling Methods
and Least Favorable Families," International Statistical Review, 58, 59{76.
[22] Donald, S.G., G.W. Imbens, and W.K. Newey, 2002, Choosing The Number of Instruments for
GMM and GEL Estimators," Working Paper, Department of Economics, MIT.
[23] Donald, S.G., G.W. Imbens, and W.K. Newey, 2003, Empirical Likelihood Estimation and
Consistent Tests with Conditional Moment Restrictions," Journal of Econometrics, 117,55{93.
[24] Donald, S.G., and W.K., Newey, 2000, A Jackknife Interpretation of the Continuous Updating
Estimator," Economic Letters, 67, 239{243.
[25] Doran, H.E., and P. Schmidt, 2005, GMM estimators with improved nite sample properties
using principal components of the weighting matrix, with an application to the dynamic panel
data model," Journal of Econometrics, forthcoming.
[26] Golan, A., G. Judge, and D. Miller, 1996, Maximum Entropy Econometrics," New York: John
Wiley and Sons.
[27] Gospodinov, N., 2005, Robust Asymptotic Inference in Autoregressive Models with Martingale
Errors," Econometric Reviews, 24, 59{81.
78
[28] Guggenberger, P., 2003, Econometric Essays On Generalized Empirical Likelihood, Long-
Memory Time Series, and Volatility," Ph.D. thesis, Yale University.
[29] Guggenberger, P., and J. Hahn, 2005, Finite Sample Properties of The Two-Step Empirical
Likelihood Estimator," Econometric Reviews, 24, 247{263.
[30] Guggenberger, P., and R. Smith, 2005, Generalized Empirical Likelihood Estimators and Tests
under Partial, Weak, and Strong Identi cation," Econometric Theory, 21, 667{709.
[31] Gregory, A., J.F. Lamarche, and G.W. Smith, 2002, Information-Theoretic Estimation of Preference
Parameters: Macroeconomic Applications and Simulation Evidence," Journal of Economet-
rics, 107, 213{233.
[32] Hall, P., and J.L. Horowitz, 1996, Bootstrap Critical Values for Tests Based on Generalized
Method of Moments Estimators," Econometrica, 64, 891{916.
[33] Hahn, J., 1996, A Note on Bootstrapping Generalized Method of Moments Estimators," Econo-
metric Theory, 12, 187{197.
[34] Hansen, L.P., 1982, Large Sample Properties of Generalized Method of Moments Estimators,"
Econometrica, 50, 1029{1054.
[35] Hansen, L.P., J. Heaton, and A. Yaron, 1996, Finite Sample Properties of Some Alternative
GMM Estimators," Journal of Business and Economic Statistics, 262{280.
[36] Hayashi, F., 2000, Econometrics," Princeton University Press.
[37] Imbens, G.W., 1997, One-Step Estimators for Over-Identi ed Generalized Method of Moments
Models," Review of Economic Studies, 64, 359{383.
[38] Imbens, G.W., R.H. Spandy, and P. Johnson, 1998, Information Theoretic Approaches to
Inference in Moment Condition Models," Econometrica, 66, 333{357.
[39] Imbens, G.W., and R.H. Spandy, 2006, The Performance of Empirical Likelihood and Its
Generlizations," Identi cation and Inference for Econometric Models : Essays in Honor of Thomas
Rothenberg, Cambridge University Press, 216{244.
[40] Imbens, G.W., and R.H. Spandy, 2002, Con dence Intervals In Generalized Method of Moments
Models," Journal of Econometrics, 107, 87{98.
[41] Imbens, G.W., 2002, Empirical Likelihood and Generalized Method of Moments," Journal of
Business and Economic Statistics, 20, 493{536.
[42] Inoue, A., and M. Shintani, 2005, Bootstrapping GMM Estimators for Time Series," Journal
of Econometrics, forthcoming.
[43] Jing, B.Y., and A.T.A. Wood, 1996, Exponential Empirical Likelihood Is Not Bartlett Correctable,"
Annals of Statistics, 24, 365{369.
79
[44] Kitamura, Y., 1997, Empirical Likelihood with Weakly Dependent Processes," Annals of Statis-
tics, 25, 2084{2102.
[45] Kitamura, Y., 2001, Asymptitic Optimality of Empirical Likelihood for Testing Moment Restrictions,"
Econometrica, 69, 1661{1672.
[46] Kitamura, Y., and M. Stutzer, 1997, An Information-Theoretic Alternative to Generalized
Method of Moment Estimation," Econometrica, 65, 861{874.
[47] Kitamura, Y., G.H. Tripathi, and H. Ahn, 2004, Empirical Likelihood-Based Inference in Conditional
Moment Restriction Models," Econometrica, 72, 1667{1714.
[48] Kitamura, Y., 2006, Empirical Likelihood Methods in Econometrics: Theory and Practice,"
Working Paper.
[49] Kleibergen, F., 2005, Testing Parameters in GMM Without Assuming That They Are Ideiti ed,"
Econometrica, 73, 1103{1124.
[50] Kocherlakota, N.R., 1990, On Tests of Representative Consumer Asset Pricing Models," Journal
of Monetary Economics, 26, 285{304.
[51] Kunsch, H.R., 1989, The Jackknife and The Bootstrap for General Stationary Observations,"
Annals of Statistics, 17, 1217{1241.
[52] Lin, l., and R. Zhang, 2001, Blockwise Empirical Euclidean Likelihood for Weakly Dependent
Processes," Statistics and Probability Letters, 53, 143{152.
[53] Mittelhammer, R., G. Judge, and R. Schoenberg, 2006, Empirical Evidence Concerning the
Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods,"
Identi cation and Inference for Econometric Models : Essays in Honor of Thomas Rothenberg,
Cambridge University Press, 282{305.
[54] Monti, A.C., 1997, Empirical Likelihood Con dence Regions in Time Series Models," Biometrika,
84, 395{405.
[55] Mykland, P., 1995, Dual Likelihood," Annals of Statistics, 23, 396{421.
[56] Newey, W.K., and D. McFadden, 1994, Large Sample Estimation Hypothesis Testing," In R.
Engle and D. McFadden, Handbook of Econometrics, vol. 4, pp. 2113{2445. North{Holland.
[57] Newey, W.K., and R.J. Smith, 2004, Higher-Order Properties of GMM and Generalized Empirical
Likelihood Estimators," Econometrica, 72, 219{255.
[58] Newey, W.K., J.J.S. Ramalho, and R.J. Smith, 2006, Asymptotic Bias for GMM and GEL
Estimators with Estimated Nuisance Parameters," Identi cation and Inference for Econometric
Models : Essays in Honor of Thomas Rothenberg, Cambridge University Press, 245{281.
80
[59] Newey, W.K., and K.D. West, 1987, A Simple Positive Semi-De nite Heteroskedasticity and
Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703{708.
[60] Otsu, T., 2006, Generalized Empirical Likelihood Inference for Nonlinear and Time Series
Models under Weak Identi cation," Econometric Theory, 22, 513{527.
[61] Owen, A., 1988, Empirical Likelihood Ratio Con dence Intervals for A Single Functional,"
Biometrika, 36, 237{249.
[62] Owen, A., 1990, Empirical Likelihood Ratio Con dence Regions," Annals of Statistics, 18,
90{120.
[63] Owen, A., 1991, Empirical Likelihood for Linear Models," Annals of Statistics, 19, 1725{1747.
[64] Owen, A., 2001, Empirical Likelihood," Chapman and Hall/CRC.
[65] Qin, J., and J. Lawless, 1994, Empirical Likelihood and General Estimating Equations," Annals
of Statistics, 22, 300{325.
[66] Ramalho, J.J.S., 2005, Small Sample Bias of Alternative Estimation Methods for Moment
Condition Models: Monte Carlo Evidence for Covariance Stuctures and Instrumental Variables."
Studies in Nolinear Dynamics and Econometrics, Vol. 9: No. 1, Article 3.
[67] Smith, R., 1997, Alternative Semi-Parametric Likelihood Approaches to Generalized Method of
Moments Estimation," Economic Journal, 107, 503{519.
[68] Smith, R., 2001, GEL Methods for Moment Condition Models," Working Paper, Department
of Economics, University of Bristol.
[69] Smith, R., 2005, Automatic Positive Semide nite HAC Covariance Matrix and GMM Estimation,"
Econometric Theory, 21, 158{170.
[70] Smith, R., 2005, Weak Instruments and Empirical Likelihood: A Discussion of The Paper by
D.W.K. Andrews, J.H. Stock and Y. Kitamura," Working Paper.
[71] Schennach, S.M., 2004, Exponentially Tiled Empirical Likelihood,"Working Paper, Department
of Economics, University of Chicago.
[72] Sherlund, S.M., 2004, Quasi Empirical Likelihood Estimation of Moment Conditions Models,"
Working Paper.
[73] Stock, J.H., J.H., Wright, and M. Yogo, 2002, A Survey of Weak Instruments and Weak
Identi cation in Generalized Method of Moments," Journal of Business and Economic Statistics,
20, 518{529.
[74] Stock, J.H., and J.H. Wright, 2000, GMM with Weak Identi cation," Econometrica, 68, 1055{
1096.
81
[75] Tauchen, G., 1986, Statistical Properties of Generalized Method of Moments estimators of
Structural Parameters obtained from nancial market data," Journal of Business of Economic
Statistics, 4, 397{425.
[76] Whang, Y.J., 2006, Smoothed Empirical Likelihood Methods for Quantile Regressions Models,"
Econometric Theory, 22, 173{205.
[77] Windmeijer, F., 2005, A Finite Sample Correction for The Variance of Linear E cient Two-Step
GMM Estimators," Journal of Econometrics, 126, 25{51.
[78] White, H., 1982, Maximum Likelihood Estimation of Misspeci ed Models," Econometrica, 50,
1{25.
[79] White, H., 2001, Asymptotic Theory for Econometricians," Academic Press.
[80] Ziliak, J.P., 1997, E cient Estimation with Panel Data When Instruments Are Predetermined:
An Empirical Comparison of Moment-Condition Estimators," Journal of Business of Economic
Statistics, 15, 419{431. |