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Gel Estimation and Inference with Non-Smooth Moment Indicators and Dynamic Data

Kemp, GCR (2007) Gel Estimation and Inference with Non-Smooth Moment Indicators and Dynamic Data. UNSPECIFIED. University of Essex, Department of Economics, Economics Discussion Papers 640.

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Abstract

In this paper we demonstrate consistency and asymptotic normality for Generalized Empirical Likelihood (GEL) estimation in dynamic models when the moment indicators being used are the non-differentiable functions of the parameters of interest.

Item Type: Monograph (UNSPECIFIED)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 17 Jul 2012 11:50
Last Modified: 17 Aug 2017 18:11
URI: http://repository.essex.ac.uk/id/eprint/2890

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