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Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging

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Author(s): Naoya Sueishi

Journal: Econometrics
ISSN 2225-1146

Volume: 1;
Issue: 2;
Start page: 141;
Date: 2013;
Original page

Keywords: model selection | model averaging | focused information criterion | generalized empirical likelihood

ABSTRACT
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 specific parameter of interest. Then, this study investigates a generalized empirical likelihood-based model averaging estimator that minimizes the asymptotic mean squared error. A simulation study suggests that our averaging estimator can be a useful alternative to existing post-selection estimators.
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