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A GEL-based AIC for model selection

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  • Feng, Qiang

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.

Suggested Citation

  • Feng, Qiang, 2012. "A GEL-based AIC for model selection," Economics Letters, Elsevier, vol. 116(3), pages 637-639.
    • Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:637-639
    DOI: 10.1016/j.econlet.2012.07.012
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    References listed on IDEAS

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    1. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    2. Hong, Han & Preston, Bruce & Shum, Matthew, 2003. "Generalized Empirical Likelihood–Based Model Selection Criteria For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 19(6), pages 923-943, December.
    3. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, vol. 107(441), pages 503-519, March.
    4. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
    5. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
    6. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Model selection; Information criterion; Generalised empirical likelihood;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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