Empirical Likelihood-Based Selection Criteria for Moment Condition Models
HAN PING HONG, Bruce Preston, Matthew Shum · RePEc: Research Papers in Economics · 2001
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