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 ...

Model selection and estimation are crucial parts of econometrics. This article introduces a new technique that can simultaneously estimate and select the model in generalized method of moments (GMM) ...

Description: Sampling distributions (chi-square, t and F distributions), order statistical decisions and inference. Hypothesis-testing concepts, Neyman-Pearson lemma, likelihood ratio tests, power of ...