Penalized KLIC criteria are introduced to better balance fit and complexity when selecting GMM models for longitudinal data by penalizing both the number of parameters and valid moment conditions.
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Penalized KLIC Model Selection for the Generalized Method of Moments in Longitudinal Data with Time-Dependent Covariates
Penalized KLIC criteria are introduced to better balance fit and complexity when selecting GMM models for longitudinal data by penalizing both the number of parameters and valid moment conditions.