Centre Fellows

Richard Smith

University of Cambridge

Professor of Econometrics, University of Cambridge

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Selected Publications

Discrete choice non-response

Missing values are endemic in the data sets available to econometricians. This paper suggests a semiparametrically […]

Esmerelda A. Ramalho, Richard Smith

31 January 2013 | Journal Article

Previous version

Discrete choice non-response

Esmerelda A. Ramalho, Richard Smith

29 July 2003 | CWP07/03

GEL Criteria for Moment Condition Models

GEL methods that generalize and extend previous contributions are defined and analyzed for moment condition models […]

Richard Smith

1 December 2011 | Journal Article

Previous version

GEL Criteria for Moment Condition Models

Richard Smith

1 December 2004 | CWP19/04

GEL methods for non-smooth moment indicators

This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of […]

Paulo Parente, Richard Smith

28 February 2011 | Journal Article

Previous version

GEL methods for non-smooth moment indicators

Paulo Parente, Richard Smith

8 July 2008 | CWP19/08

Automatic positive semi-definite HAC covariance matrix and GMM estimation

This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method […]

Richard Smith

24 May 2010 | Journal Article

Previous version

Automatic positive semi-definite HAC covariance matrix and GMM estimation

Richard Smith

14 December 2004 | CWP17/04

Generalized empirical likelihood tests in time series models with potential identification failure

We introduce test statistics based on generalized empirical likelihood methods that can be used to test […]

Patrik Buggenberger, Richard Smith

1 January 2008 | Journal Article

Previous version

Generalized empirical likelihood tests in time series models with potential identification failure

Patrik Buggenberger, Richard Smith

7 April 2005 | CWP01/05

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura, henceforth A, S […]

Richard Smith

1 August 2007 | Journal Article

Previous version

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

Richard Smith

31 October 2005 | CWP13/05

Efficient information theoretic inference for conditional moment restrictions

The generalized method of moments estimator may be substantially biased in finite samples, especially so when […]

Richard Smith

1 June 2007 | Journal Article

Previous version

Efficient information theoretic inference for conditional moment restrictions

Richard Smith

31 October 2005 | CWP14/05

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators […]

Whitney K. Newey, Joaquim J. S. Ramalho Ramalho, Richard Smith

1 October 2005 | Journal Article

Previous version

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Whitney K. Newey, Joaquim J. S. Ramalho Ramalho, Richard Smith

1 December 2003 | CWP05/03

Generalized empirical likelihood estimators and tests under partial, weak and strong identification

The principal purpose of this paper is to describe the performance of generalized empirical likelihood (GEL) […]

Buggenberger, Patrick, Richard Smith

1 August 2005 | Journal Article

Previous version

Generalized empirical likelihood estimators and tests under partial, weak and strong identification

Patrik Buggenberger, Richard Smith

29 July 2003 | CWP08/03

Higher order properties of GMM and generalised empirical likelihood estimators

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, […]

Whitney K. Newey, Richard Smith

1 January 2004 | Journal Article

Previous version

Higher order properties of GMM and generalised empirical likelihood estimators

Whitney K. Newey, Richard Smith

1 June 2003 | CWP04/03