Functional Generalized Empirical Likelihood Estimation for Conditional Moment Restrictions

arXiv:2207.04771v2 Announce Type: replace
Abstract: Important problems in causal inference, economics, and, more generally, robust machine learning can be expressed as conditional moment restrictions, but estimation becomes challenging as it requires solving a continuum of unconditional moment restrictions. Previous works addressed this problem by extending the generalized method of moments (GMM) to continuum moment restrictions. In contrast, generalized empirical likelihood (GEL) provides a more general framework and has been shown to enjoy favorable small-sample properties compared to GMM-based estimators. To …

abstract arxiv causal inference cs.lg economics functional generalized inference likelihood machine machine learning math.st moments restrictions robust stat.ml stat.th type