Generalized Empirical Likelihoodbased Model Selection Criteria for Moment Condition Models
نویسندگان
چکیده
This paper proposes model selection criteria ~MSC! for unconditional moment models using generalized empirical likelihood ~GEL! statistics+ The use of GELstatistics 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 GELbased 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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