Sueishi, Naoya - In: Econometrics 1 (2013) 2, pp. 141-156
information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model … empirical likelihood-based model averaging estimator that minimizes the asymptotic mean squared error. A simulation study …, rather than a correct model, for estimating a specific parameter of interest. Then, this study investigates a generalized …