Variable selection using penalized empirical likelihood

This paper considers variable selection for moment restriction models.We propose a penalized empirical likelihood(PEL) approach that has desirable asymptotic properties comparable to the penalized likelihood approach,which relies on a correct parametric likelihood specification.In addition to being consistent and having the oracle property,PEL admits inference on parameter without having to estimate its estimator's covariance.An approximate algorithm,along with a consistent BIC-type criterion for selecting ...