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Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging

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  • Naoya Sueishi

    (Graduate School of Economics, Kyoto University, Yoshida-Hommachi, Sakyo-ku, Kyoto, 6068501, Japan)

Abstract

This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rather than a correct model, for estimating a specific parameter of interest. Then, this study investigates a generalized empirical likelihood-based model averaging estimator that minimizes the asymptotic mean squared error. A simulation study suggests that our averaging estimator can be a useful alternative to existing post-selection estimators.

Suggested Citation

  • Naoya Sueishi, 2013. "Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-16, July.
    • Handle: RePEc:gam:jecnmx:v:1:y:2013:i:2:p:141-156:d:26900
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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. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
    3. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
    4. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
    5. Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, vol. 21(1), pages 60-68, February.
    6. 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.
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    Cited by:

    1. Kitagawa, Toru & Muris, Chris, 2016. "Model averaging in semiparametric estimation of treatment effects," Journal of Econometrics, Elsevier, vol. 193(1), pages 271-289.
    2. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
    3. Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2021. "Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 54-68, January.
    4. Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.

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