Empirical Likelihood-Based Selection Criteria for Moment Condition Models
In this note we propose model selection criteria (MSC) for unconditional moment models using empirical likelihood (EL) statistics in the construction of the MSC The use of EL-statistics in lieu of the more common J-statistics leads to a much more transparent interpretation of the MSC by providing a closer analogy with MSC in standard parametric likelihood models and underlying the common likelihood- (or information-) based underlying model selection procedures for bothe parametric as well as semi-parametric models
|Date of creation:||Nov 2001|
|Date of revision:|
|Contact details of provider:|| Postal: 3400 North Charles Street Baltimore, MD 21218|
Web page: http://www.econ.jhu.edu
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:jhu:papers:459. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (None)
If references are entirely missing, you can add them using this form.