讲座题目：Culling the Herd of Moments with Penalized Empirical Likelihood

主 讲 人：常晋源

讲座时间：2022年5月12日（周四）上午10:40-11:40

地点：线上：腾讯会议 ID 954-676-464 

          线下：综合楼644会议室

主讲人简介：

       常晋源，西南财经大学光华特聘教授、博士生导师、数据科学与商业智能联合实验室执行主任、国家杰出青年科学基金获得者、四川省特聘专家、四川省统计专家咨询委员会委员。主要从事“超高维数据分析”和“高频金融数据分析”两个领域的研究。   

讲座摘要：

Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of valid moments can potentially improve estimation efficiency, in the meantime a few invalid ones may undermine consistency. This paper investigates the empirical likelihood estimation of these moment-defined models in high-dimensional settings. We propose a penalized empirical likelihood (PEL) estimation and establish its oracle property with consistent detection of invalid moments. The PEL estimator is asymptotically normally distributed, and a projected PEL procedure further eliminates its asymptotic bias and provides more accurate normal approximation to the finite sample behavior. Simulation exercises demonstrate excellent numerical performance of these methods in estimation and inference.