Empirical Likelihood-Based Selection Criteria for Moment Condition Models

Han Hong, Bruce Preston and Matthew Shum ()

Economics Working Paper Archive from The Johns Hopkins University,Department of Economics

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

Date: 2001-11
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Persistent link: https://EconPapers.repec.org/RePEc:jhu:papers:459

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