If there are two published versions of a paper, which one should I cite? While writing my thesis, I have encountered the following situation: 

My thesis is based on the work of Gourieroux et al. (1993) who, as part of the text, cites another paper, Gourieroux and Monfort (1992). In the references to the 1993 paper this paper is listed as having been published in "CREST-Départment de la Recherche INSEE, DP No. 9214". I also need to cite this paper, but can only find a version which was published in 1995 in the journal "Econometric Theory". 

My question is therefore, should I use the original citation from he 1993 paper: Gourieroux and Monfort (1992), or go with Gourieroux and Monfort (1995).

I am inclined to go with the latter, but worried it would be considered strange if I write something like "Gourieroux et al. (1993), using theory developed by Gourieroux and Monfort (1995), show...". 
Thanks in advance for your help!
I favor acting in the following way:


If you've only read one of the versions, cite that one. God knows what's in the one you haven't read.
If you've read both versions:


if they are identical relative to the information you need, publication in a journal or proceedings volume takes precedence over (re)publication in a career collection (e.g., "Selected works of Jones"), which takes precedence over arxiv, which takes precedence over non-arxiv manuscripts.
if they are not identical relative to the information you need, cite whichever one contains the best version (where best probably needs to be decided on a case-by-case basis).