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. doi:10.1017/S0266466603196028. https://resolver.caltech.edu/CaltechAUTHORS:20111017-113050114
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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.
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| Additional Information: | © 2003 Cambridge University Press. Published online: 24 September 2003. 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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| Issue or Number: | 6 | |||||||||
| DOI: | 10.1017/S0266466603196028 | |||||||||
| Record Number: | CaltechAUTHORS:20111017-113050114 | |||||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20111017-113050114 | |||||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | |||||||||
| ID Code: | 27255 | |||||||||
| Collection: | CaltechAUTHORS | |||||||||
| Deposited By: | Tony Diaz | |||||||||
| Deposited On: | 17 Oct 2011 18:50 | |||||||||
| Last Modified: | 09 Nov 2021 16:47 |
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