Moment Conditions Selection Based on Adaptive Penalized Empirical Likelihood
Figure 1
Finite sample densities of EL and EL shrinkage estimators for in the cases of example (1). The SCAD penalty is used in the EL shrinkage estimation and the first-step estimators of moment selection coefficients are the EL estimators; (2) oracle estimators are the EL estimators using the moment conditions in set-1 and all correct moment conditions in set-2; (3) EL estimators only use the moment conditions in set-1; (4) SEL-A refers to the EL shrinkage estimators using tuning parameters selected by minimizing EmAIC; (5) SEL-B refers to the EL shrinkage estimators using tuning parameters selected by minimizing EmBIC.
