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Empirical Likelihood-Based Selection Criteria for Moment Condition Models

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  • Han Hong
  • Bruce Preston
  • Matthew Shum

Abstract

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

Suggested Citation

  • Han Hong & Bruce Preston & Matthew Shum, 2001. "Empirical Likelihood-Based Selection Criteria for Moment Condition Models," Economics Working Paper Archive 459, The Johns Hopkins University,Department of Economics.
  • Handle: RePEc:jhu:papers:459
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    File URL: http://www.econ2.jhu.edu/REPEC/papers/andrews.pdf
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    Cited by:

    1. Kim, Jae-Young, 2014. "An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification," Journal of Econometrics, Elsevier, vol. 178(P1), pages 132-145.
    2. Otsu, Taisuke, 2010. "On Bahadur efficiency of empirical likelihood," Journal of Econometrics, Elsevier, vol. 157(2), pages 248-256, August.
    3. Kim, Jae-Young, 2012. "Model selection in the presence of nonstationarity," Journal of Econometrics, Elsevier, vol. 169(2), pages 247-257.

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