Generalized empirical likelihood-based model selection criteria for moment condition models

Abstract

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543-564; and Andrews and Lu, 2001, Journal of Econometrics 101, 123-164) leads to an alternative interpretation of the MSCs that emphasizes the common information-theoretic rationale underlying model selection procedures for both parametric and semiparametric models. The result of this paper also provides a GEL-based model selection alternative to the information criteria-based nonnested tests for generalized method of moments models considered in Kitamura (2000, University of Wisconsin). The results of a Monte Carlo experiment are reported to illustrate the finite-sample performance of the selection criteria and their impact on parameter estimation.

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