A GEL-based AIC for model selection

作者：Feng Qiang^*

来源：Economics Letters, 2012, 116(3): 637-639.

DOI：10.1016/j.econlet.2012.07.012

• Model selection
• Information criterion
• Generalised empirical likelihood

This paper proposes a model selection criterion for models defined by a set of moment conditions that are possibly nonsmooth and discontinuous. The model selection criterion is based on an asymptotically unbiased approximation of the Kullback-Leibler Information Criterion (KLIC), using the generalised empirical likelihood (GEL) criterion function as a semiparametric likelihood function.

• 出版日期2012-9
• 单位对外经济贸易大学