EMPIRICAL LIKELIHOOD ESTIMATION BASED ON SIMULATED MOMENT CONDITIONS
DOI : 10.3844/jmssp.2014.111.116
Journal of Mathematics and Statistics
Volume 10, Issue 2
In this study we discuss the optimization of the Empirical Likelihood (EL) criterion function when the moment condition is nonstandard. We deal with this issue following the Method of Simulated Moment (MSM) introduced and we use importance sampling method to smooth discrete moment conditions. We have demonstrated the convergence and asymptotic normality of the empirical likelihood estimator from the simulated moment conditions.
© 2014 Xing Wang. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.