This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543-564; and Andrews and Lu, 2001, Journal of Econometrics...

In most economic models used for theoretical exploration or policy analysis, there is a crucial role for agents' expectations about future outcomes. Generally, it is assumed that economic agents take their decisions according to rationality principles and that they have a fairly accurate...