Abstract and Applied Analysis / 2014 / Article / Tab 2

Research Article

Moment Conditions Selection Based on Adaptive Penalized Empirical Likelihood

Table 2

The selection probabilities of adaptive GMM shrinkage estimation.

The selection probabilitiesCaseThe correctUnderselectedOverselected

P-LA 0.440.550.01
0.620.380.00

P-LB 0.580.310.11
0.860.140.00

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.