Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society

• #### Young Su Cho   (Korea Rural Economic Insititute)

Abstract

Utilizing the concept of unbiased estimating functions combined with the concept of $\phi$-divergence of Csiszár (1963), we introduce the method of minimum empirical $\phi$-divergence estimation and inference, which can be thought of as a generalization of empirical likelihood method of Owen (1988) and Qin and Lawless (1994). Efficiency results for estimators are obtained. Given the parallels with the conventional likelihood, classical-type tests based on the empirical $\phi$-divergence for a simple parametric hypothesis and the moment conditions are constructed.

Keywords
Empirical Likelihood, Empirical $\phi$-Divergence, Estimating Equations

JEL classification codes
C12, C13, C14