%0 Journal Article
%T Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging
%A Naoya Sueishi
%J Econometrics
%D 2013
%I MDPI AG
%R 10.3390/econometrics1020141
%X 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.
%K model selection
%K model averaging
%K focused information criterion
%K generalized empirical likelihood
%U http://www.mdpi.com/2225-1146/1/2/141