GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS

By Han Hong, Bruce Preston, M. Shum. Econometric Theory, 2003

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Least Squares Model Averaging (2007, unknown): “(23) Now break the sum into two groups based on whether kjN < ξn or kjN ≥ ξn.”
Assessing misspecified asset pricing models with empirical likelihood estimators (2012, unknown): “Hong, Preston, and Shum (2003) suggests a GEL-based model selection criteria alternative to the non-nested model selection test of Kitamura (2000).”
Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments (2013, background): “Hong, Preston, and Shum (2003) study moment selection based on the generalized empirical likelihood estimation.”
Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood" (2005, background): “ of random variables drawn from a distribution with unbounded support. Theorem 1 is especially important given the growing literature on minimum empirical discrepancy estimators in misspeciﬁed models [8, 23, 26, 32, 34, 54, 61]. In the nonnested model selection literature using minimum discrepancies”