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