Culling the Herd of Moments with Penalized Empirical Likelihood
Culling the Herd of Moments with Penalized Empirical Likelihood
Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of valid moments can potentially improve estimation efficiency, in the meantime a few invalid ones may undermine consistency. This article investigates the empirical likelihood …