A GEL-based AIC for model selection

Qiang Feng

Economics Letters, 2012, vol. 116, issue 3, 637-639

Abstract: This paper proposes a model selection criterion for models defined by a set of moment conditions that are possibly nonsmooth and discontinuous. The model selection criterion is based on an asymptotically unbiased approximation of the Kullback–Leibler Information Criterion (KLIC), using the generalised empirical likelihood (GEL) criterion function as a semiparametric likelihood function.

Keywords: Model selection; Information criterion; Generalised empirical likelihood (search for similar items in EconPapers)
JEL-codes: C1 C14 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:637-639

DOI: 10.1016/j.econlet.2012.07.012

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