Moment Conditions Selection Based on Adaptive Penalized Empirical Likelihood

Table 2

The selection probabilities of adaptive GMM shrinkage estimation.

The selection probabilities	Case	The correct	Underselected	Overselected
P-LA	𝑛=100	0.44	0.55	0.01
	𝑛=500	0.62	0.38	0.00
P-LB	𝑛=100	0.58	0.31	0.11
	𝑛=500	0.86	0.14	0.00

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.