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Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models

Che, Xiaohong and Hong, Han and Shum, Matthew (2007) Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models. Journal of Econometrics, 141 (1). pp. 109-140. ISSN 0304-4076. https://resolver.caltech.edu/CaltechAUTHORS:CHEje07

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Abstract

We propose a nonparametric likelihood ratio testing procedure for choosing between a parametric (likelihood) model and a moment condition model when both models could be misspecified. Our procedure is based on comparing the Kullback–Leibler Information Criterion (KLIC) between the parametric model and moment condition model. We construct the KLIC for the parametric model using the difference between the parametric log likelihood and a sieve nonparametric estimate of population entropy, and obtain the KLIC for the moment model using the empirical likelihood statistic. We also consider multiple (>2) model comparison tests, when all the competing models could be misspecified, and some models are parametric while others are moment-based. We evaluate the performance of our tests in a Monte Carlo study, and apply the tests to an example from industrial organization.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1016/j.jeconom.2007.01.010PublisherArticle
ORCID:
AuthorORCID
Shum, Matthew0000-0002-6262-915X
Additional Information:© 2007 Elsevier. Available online 8 March 2007. We thank the associate editor, three referees, J. Geweke, J. Horowitz, Y. Kitamura, O. Linton, N. Meddahi, S. Ng, H. Paarsch, R. Porter and seminar participants in Carnegie-Mellon, U. Iowa, the 2003 Econometric Society Winter Meetings in Washington DC, SITE 2003, and the 2004 Semiparametrics conference in Rio for helpful comments. We also thank D. Chen and in particular D. Nekipelov for excellent research assistance in the simulation study. All three authors gratefully acknowledge supports from the National Science Foundation, and Hong also acknowledges support from the Sloan Foundation.
Funders:
Funding AgencyGrant Number
NSFUNSPECIFIED
Alfred P. Sloan FoundationUNSPECIFIED
Subject Keywords:GENERALIZED-METHOD; EMPIRICAL LIKELIHOOD; ESTIMATORS; INFERENCE; AUCTIONS; Model selection tests; KLIC
Issue or Number:1
Record Number:CaltechAUTHORS:CHEje07
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:CHEje07
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:12059
Collection:CaltechAUTHORS
Deposited By: Lindsay Cleary
Deposited On:22 Oct 2008 18:47
Last Modified:03 Oct 2019 00:25

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