Arbeitspapier

Empirical likelihood-based model 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.

Language
Englisch

Bibliographic citation
Series: Working Paper ; No. 459

Classification
Wirtschaft
Subject
Wahrscheinlichkeitsrechnung
Statistischer Test
Theorie
Heteroskedastizität

Event
Geistige Schöpfung
(who)
Hong, Han
Preston, Bruce
Shum, Matthew
Event
Veröffentlichung
(who)
The Johns Hopkins University, Department of Economics
(where)
Baltimore, MD
(when)
2001

Handle
Last update
10.03.2025, 11:41 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Hong, Han
  • Preston, Bruce
  • Shum, Matthew
  • The Johns Hopkins University, Department of Economics

Time of origin

  • 2001

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