Exponentially tilted likelihood inference on growing dimensional unconditional moment models
Year of publication: |
January 2018
|
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Authors: | Tang, Niansheng ; Yan, Xiaodong ; Zhao, Puying |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 202.2018, 1, p. 57-74
|
Subject: | Growing-dimensional data analysis | Model misspecification | Moment unconditional models | Penalized exponentially tilted likelihood | Variable selection | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Momentenmethode | Method of moments |
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