zhentaoshi/rel

Demonstration for "Econometric Estimation with High-Dimensional Moment Equalities" (2016).

This document briefly describes the code that implement the REL and the boosting-type greedy algorithm in my paper

"Econometric Estimation with High-Dimensional Moment Equalities", 2016, Journal of Econometrics, 195, 104-119

via a demonstration with the Chinese trade data.

Prerequisite

To run the code, we need to install MOSEK and hook it up with Matlab. MOSEK is a commercial convex problem solver. It provides free academic license.

Data and Files

• trade_data.mat: data file for the Chinese empirical application in my paper.
• master_REL.m: the master function for the relaxed empirical likelihood.
• master_boosting:m: the master function for the boosting procedure in my paper.
• EKK: generates the predicted market entry and the sale. It contains the EKK paper's micro model as a nested function.

Environment

The master files work on the author's PC in Matlab 2014b