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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. doi:10.1017/S0266466603196028.

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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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URLURL TypeDescription DOIArticle
Shum, Matthew0000-0002-6262-915X
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.
Funding AgencyGrant Number
Fellowship of Woodrow Wilson ScholarsUNSPECIFIED
Issue or Number:6
Record Number:CaltechAUTHORS:20111017-113050114
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:27255
Deposited By: Tony Diaz
Deposited On:17 Oct 2011 18:50
Last Modified:09 Nov 2021 16:47

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