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

Econometric Theory

Volumn 19, Issue 6, 2003, Pages 923-943

  Hong, Han ^a   Preston, Bruce ^a   Shum, Matthew ^b  

^a PRINCETON UNIVERSITY   (United States)

^b Princeton University ^*

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0242636863     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466603196028     Document Type: Article

References (21)

1. Ahn, H., Y. Kitamura, & G. Tripathi (2001) Empirical Likelihood-Based Inference in Conditional Moment Restriction Models. Working paper, Department of Economics, University of Wisconsin.
2. Amemiya, T. (1985) Advanced Econometrics. Cambridge: Harvard University Press.
3. Andrews, D.W. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
4. Andrews, D. (1994) Empirical Process Methods in Econometrics. In R. Engle & D. McFadden (eds.), Handbook of Econometrics, Vol. 4, pp. 2248-2292. Amsterdam: North-Holland.
5. Andrews, D. (1999) Consistent moment selection procedures for generalized method of moments estimation. Econometrica 67, 543-564.
6. Andrews, D. & B. Lu (2001) Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models. Journal of Econometrics 101, 123-164.
7. Chernozhukov, V. & C. Hansen (2001) An IV Model of Quantile Treatment Effects. Working paper, Department of Economics, MIT.
8. Christoffersen, P.F., J. Hahn, & A. Inoue (2001) Testing and comparing value at risk measures. Journal of Empirical Finance 8, 325-342.
9. Hansen, L., J. Heaton, & A. Yaron (1996) Finite-sample properties of some alternative GMM estimators. Journal of Business and Economic Statistics 14, 262-280.
10. Imbens, G., R. Spady, & P. Johnson (1998) Information theoretic approaches to inference in moment condition models. Econometrica 66, 333-357.
11. Kitamura, Y. (1997) Empirical likelihood methods with weakly dependent processes. Annals of Statistics 25, 2084-2102.
12. Kitamura, Y. (2000) Comparing Misspecified Dynamic Econometric Models Using Nonparametric Likelihood. Working paper, Department of Economics, University of Wisconsin.
13. Kitamura, Y. & M. Stutzer (1997) An information-theoretic alternative to generalized method of moments estimation. Econometrica 65, 861-874.
14. Newey, W. & D. McFadden (1994) Large sample estimation and hypothesis testing. In R. Engle & D. McFadden (eds.), Handbook of Econometrics, vol. 4, pp. 2113-2241, Amsterdam: North-Holland.
15. Newey, W. & R. Smith (2000) Asymptotic Bias and Equivalence of GMM and GEL Estimators. Working paper 01/517, University of Bristol.
16. Newey, W. & K.D. West (1987) A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
17. Pötscher, B. (1991) Effects of model selection on inference. Econometric Theory 7, 163-185.
18. Qin, J. & J. Lawless (1994) Empirical likelihood and general estimating equations. Annals of Statistics 22, 300-325.
19. Ramalho, J.J.S. and R.J. Smith Generalized empiricallikelihood non-nested tests. Journal of Econometrics(2002),107(1-2),99-125,DOI:10.1016/S0304-4076(01)00115-4
20. Smith, R.J. (1997) Alternative semiparametric likelihood approaches to generalised method of moments estimation. Economics Journal 107, 503-519.
21. Vuong, Q. (1989) Likelihood-ratio tests for model selection and non-nested hypotheses, Econometrica 57, 307-333.