On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator
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- Tomohiro Ando
- Melbourne Business School, University of Melbourne, 200 Leicester Street, Carlton, Victoria 3053, Australia
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- Naoya Sueishi
- Graduate School of Economics, Kobe University, 2-1 Rokkodai-cho, Nada-ku, Kobe 657-8501, Japan
説明
<jats:p>This paper investigates the asymptotic properties of a penalized empirical likelihood estimator for moment restriction models when the number of parameters ( p n ) and/or the number of moment restrictions increases with the sample size. Our main result is that the SCAD-penalized empirical likelihood estimator is n / p n -consistent under a reasonable condition on the regularization parameter. Our consistency rate is better than the existing ones. This paper also provides sufficient conditions under which n / p n -consistency and an oracle property are satisfied simultaneously. As far as we know, this paper is the first to specify sufficient conditions for both n / p n -consistency and the oracle property of the penalized empirical likelihood estimator.</jats:p>
収録刊行物
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- Econometrics
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Econometrics 7 (1), 15-, 2019-03-20
MDPI AG