Exponentially tilted likelihood inference on growing dimensional unconditional moment models

Abstract

Growing-dimensional data with likelihood unavailable are often encountered in various fields. This paper presents a penalized exponentially tilted likelihood (PETL) for variable selection and parameter estimation for growing dimensional unconditional moment models in the presence of correlation among variables and model misspecifica- tion. Under some regularity conditions, we investigate the consistent and oracle proper- ties of the PETL estimators of parameters, and show that the constrainedly PETL ratio statistic for testing contrast hypothesis asymptotically follows the central chi-squared distribution. Theoretical results reveal that the PETL approach is robust to model mis- specification. We also study high-order asymptotic properties of the proposed PETL estimators. Simulation studies are conducted to investigate the finite performance of the proposed methodologies. An example from the Boston Housing Study is illustrated.

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