Encompassing: formulation, properties and testing
encompassing principleencompassing testsKullback-Leibler information criterionlinear modelpseudo-tree values
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)
In many scientific investigations, a new theory is acceptable for explaining results if it is able to explain the results obtained from other competing theories known earlier besides possibly explaining some new results from the proposed new theory. This principle is named by econometricians as the encompassing principle [cf. \textit{G. E. Mizon} and \textit{J.-F. Richard}, Econometrica 54, 657-678 (1986; Zbl 0625.62105)]. A stochastic model \({\mathcal F}\) is said to encompass another model \(\zeta\) if it can account for the results, obtained under the model \(\zeta\). This monograph discusses the theory of encompassing. It describes a framework for a formal comparison of a pair of parametric models using the Kullback-Leibler information criterion and develops a methodology for testing hypotheses in the context of data generating processes with independent and identically distributed observations. The contents are as follows: Introduction; Chapter 1: Pseudo-tree values; Chapter 2: Encompassing; Chapter 3: Testing the encompassing hypothesis; Chapter 4: Encompassing tests for the linear model; Conclusion. The monograph is well-written and should be of interest to econometricians and statisticians interested in stochastic modelling and statistical inference.
- Encompassing and indirect inference
- The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
- Encompassing tests when no model is encompassing
- Encompassing in stationary linear dynamic models
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- scientific article; zbMATH DE number 1551462
- Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
- Encompassing in stationary linear dynamic models
- The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
- On the specification and estimation of large scale simultaneous structural macroeconometric models
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