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  • Han Hong (a1), Bruce Preston (a1) and Matthew Shum (a2)

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.The authors gratefully acknowledge support from the NSF (Hong: SES-0079495, Shum: SES-0003352) and the Fellowship of Woodrow Wilson Scholars (Preston). We thank the co-editor Don Andrews, Xiaohong Chen, John Geweke, Bo Honore, Yuichi Kitamura, Serena Ng, Harry Paarsch, Gautam Tripathi, and two anonymous referees for insightful suggestions and helpful comments.

Corresponding author
Address correspondence to: Han Hong, Department of Economics, Fisher Hall, Princeton University, Princeton, NJ 08544, USA; e-mail:
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Andrews, D.W. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817858.

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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, 123164.

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Vuong, Q. (1989) Likelihood-ratio tests for model selection and non-nested hypotheses. Econometrica 57, 307333.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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