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
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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 | ||||||||
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| 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. | ||||||||
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| Subject Keywords: | CONSISTENT COVARIANCE-MATRIX; HETEROSKEDASTICITY; INFERENCE | ||||||||
| Record Number: | CaltechAUTHORS:HONet03 | ||||||||
| Persistent URL: | http://resolver.caltech.edu/CaltechAUTHORS:HONet03 | ||||||||
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| 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 |
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