Abstract and Applied Analysis / 2014 / Article / Tab 1

Research Article

Moment Conditions Selection Based on Adaptive Penalized Empirical Likelihood

Table 1

The selection probabilities of adaptive EL shrinkage estimation.

The selection probabilitiesCaseThe correctUnderselectedOverselected

P-LA 0.460.530.01
0.640.360.00

P-LB 0.610.300.09
0.890.110.00

1.P-LA and P-LB contain the selection probabilities of the correct, underselected, and overselected sets of moment conditions in EL (GMM) shrinkage estimation using the tuning parameters from EmAIC (GMM-AIC) and EmBIC (GMM-BIC), respectively.