%0 Journal Article
%T On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator
%A Naoya Sueishi
%A Tomohiro Ando
%J -
%D 2019
%R https://doi.org/10.3390/econometrics7010015
%X Abstract 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. View Full-Tex
%K diverging number of parameters
%K penalized empirical likelihood
%K sparse models
%U https://www.mdpi.com/2225-1146/7/1/15