Testing nested or non-nested hypotheses

DOI10.1016/0304-4076(83)90121-5zbMATH Open0551.62075OpenAlexW2027215137MaRDI QIDQ800679FDOQ800679

Christian Gouriéroux, Alain Monfort, Alain Trognon

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90121-5

zbMATH Keywords

non-nested hypothesesscore functionWald statisticpseudo-maximum likelihood estimatordifference between two estimatorspseudo-true value

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Foundations and philosophical topics in statistics (62A01)

Cites Work

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• Maximum Likelihood Estimation of Misspecified Models
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing Non-Nested Nonlinear Regression Models
• Specification Tests in Econometrics
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Information Criteria for Discriminating Among Alternative Regression Models
• A Remark on Hausman's Specification Test
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• On the General Problem of Model Selection
• Some useful equivalence properties of Hausman's test
• Regularity conditions for Cox's test of non-nested hypotheses

Cited In (22)

• An illustration of Cox's non-nested testing procedure for logit and probit models
• CONDITIONING IN DYNAMIC MODELS
• Encompassing and indirect inference
• Model selection tests for nonlinear dynamic models
• An encompassing test for non-nested quantile regression models
• Statistical inference in non-nested econometric models
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• Asymptotic behavior of encompassing test for independent processes: Case of linear and nearest neighbor regressions
• Model selection in magnetic resonance imaging
• Non-nested hypothesis testing inference for GAMLSS models
• Semiparametric score driven volatility models
• Testing nested and non-nested periodically integrated autoregressive models
• Title not available (Why is that?)
• The significance of testing empirical non-nested models
• Encompassing in stationary linear dynamic models
• Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
• Misspecified structural change, threshold, and Markov-switching models.
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• Monte Carlo sampling procedure and Bayesian encompassing tests. Normal case
• Nonnested hypothesis testing in the class of varying dispersion beta regressions
• A simplified method of calculating the distribution free Cox test
• Title not available (Why is that?)

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