High dimensional generalized empirical likelihood for moment restrictions with dependent data

Title
High dimensional generalized empirical likelihood for moment restrictions with dependent data
Authors
Keywords
Generalized empirical likelihood, High dimensionality, Penalized likelihood, Variable selection, Over-identification test, Weak dependence
Journal
JOURNAL OF ECONOMETRICS
Volume 185, Issue 1, Pages 283-304
Publisher
Elsevier BV
Online
2014-11-17
DOI
10.1016/j.jeconom.2014.10.011

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