COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1783

Large Deviations of Generalized Method of Moments
and Empirical Likelihood Estimators

Taisuke Otsu

February 2011

This paper studies large deviation properties of the generalized method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.

Keywords: Generalized method of moments; Empirical likelihood; Large deviations

JEL Classification: C13; C14