Guay, Alain; Pelgrin, Florian - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
In this paper, we investigate the information content of implied probabilities (Back and Brown, 1993) to improve estimation in unconditional moment conditions models. We propose and evaluate two 3-step euclidian empirical likelihood estimators and their bias-correction versions for weakly...