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 generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.
- Empirical likelihood
- Generalized method of moments
- Large deviations.
ASJC Scopus subject areas
- Economics and Econometrics