COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 0000 Moderate Deviations of Generalized Method of Taisuke Otsu February 2011 This paper studies moderate deviation behaviors of the
generalized method of moments and generalized empirical likelihood
estimators for generalized estimating equations, where the number of
equations can be larger than the number of unknown parameters. We consider
two cases for the data generating probability measure: the model assumption and
local contaminations or deviations from the model assumption. For both cases, we
characterize the first-order terms of the moderate deviation error probabilities of
these estimators. Our moderate deviation analysis complements the existing literature
of the local asymptotic analysis and misspecification analysis for estimating
equations, and is useful to evaluate power and robust properties of statistical
tests for estimating equations which typically involve some estimators
for nuisance parameters. |
