Penalized KLIC Model Selection for the Generalized Method of Moments in Longitudinal Data with Time-Dependent Covariates

Mahmud Hasan, Mathias Nthiani Muia, Mous-Abou Hamadou +1

Model selection plays an important role in longitudinal data analysis, especially when models are estimated using the generalized method of moments (GMM) in the presence of time-de…