This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data ...
Sankhyā: The Indian Journal of Statistics, Series B (2008-), Vol. 81, Special Issue on Econometrics (September 2019), pp. S146-S200 (55 pages) We propose generalized moments LASSO estimator, combining ...
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