CaltechAUTHORS
  A Caltech Library Service

Generalized empirical likelihood-based model selection criteria for moment condition models

Hong, Han and Preston, Bruce and Shum, Matthew (2003) Generalized empirical likelihood-based model selection criteria for moment condition models. Econometric Theory, 19 (6). pp. 923-943. ISSN 0266-4666. http://resolver.caltech.edu/CaltechAUTHORS:HONet03

[img]
Preview
PDF - Published Version
See Usage Policy.

140Kb

Use this Persistent URL to link to this item: http://resolver.caltech.edu/CaltechAUTHORS:HONet03

Abstract

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543-564; and Andrews and Lu, 2001, Journal of Econometrics 101, 123-164) leads to an alternative interpretation of the MSCs that emphasizes the common information-theoretic rationale underlying model selection procedures for both parametric and semiparametric models. The result of this paper also provides a GEL-based model selection alternative to the information criteria-based nonnested tests for generalized method of moments models considered in Kitamura (2000, University of Wisconsin). The results of a Monte Carlo experiment are reported to illustrate the finite-sample performance of the selection criteria and their impact on parameter estimation.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1017/S0266466603196028DOIUNSPECIFIED
Additional Information:Copyright © 2003 Cambridge University Press. Reprinted with permission. The authors gratefully acknowledge support from the NSF (Hong: SES-0079495, Shum: SES-0003352) and the Fellowship of Woodrow Wilson Scholars (Preston). We thank the co-editor Don Andrews, Xiaohong Chen, John Geweke, Bo Honore, Yuichi Kitamura, Serena Ng, Harry Paarsch, Gautam Tripathi, and two anonymous referees for insightful suggestions and helpful comments.
Funders:
Funding AgencyGrant Number
National Science FoundationSES-0079495
National Science FoundationSES-0003352
Fellowship of Woodrow Wilson Scholars, Princeton UniversityUNSPECIFIED
Subject Keywords:CONSISTENT COVARIANCE-MATRIX; HETEROSKEDASTICITY; INFERENCE
Record Number:CaltechAUTHORS:HONet03
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:HONet03
Official Citation:Han Hong, Bruce Preston and Matthew Shum (2003). GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS. Econometric Theory, 19, pp 923-943 doi:10.1017/S0266466603196028
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:12309
Collection:CaltechAUTHORS
Deposited By: Lindsay Cleary
Deposited On:11 Nov 2008 18:12
Last Modified:26 Dec 2012 10:30

Repository Staff Only: item control page