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
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