Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging
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 specifi...
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| Format: | Article |
| Language: | English |
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MDPI AG
2013-07-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/1/2/141 |