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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Minimum Empirical $\phi$-Divergence Estimationand Inference

Vol.18, No.2, June , 85–113



  •   (Korea Rural Economic Insititute)

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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
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