Generalized empirical likelihood non-nested tests

DOI10.1016/S0304-4076(01)00115-4MaRDI QIDQ1858928zbMATH OpenOpenAlexFDO

Authors Joaquim J. S. Ramalho, Richard J. Smith

Publication date 17 February 2003

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

Full work available at URL https://doi.org/10.1016/s0304-4076(01)00115-4

zbMATH Keywords

empirical likelihoodGMMCox-type testsmoment encompassing testsparametric encompassing tests

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

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• Testing for nonnested conditional moment restrictions via conditional empirical likelihood
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Cites work

• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• scientific article; zbMATH DE number 3213229 (Why is no real title available?)
• scientific article; zbMATH DE number 3320085 (Why is no real title available?)
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Empirical likelihood and general estimating equations
• Implied Probabilities in GMM Estimators
• Information Theoretic Approaches to Inference in Moment Condition Models
• Large Sample Properties of Generalized Method of Moments Estimators
• Likelihood Ratio Specification Tests
• Miscellanea. Bartlett adjustment of empirical discrepancy statistics
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Testing nonnested Euler conditions with quadrature-based methods of approximation
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses

Cited in

(16)

• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• An encompassing test for non-nested quantile regression models
• Linear instrumental variables model averaging estimation
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Testing for nonnested conditional moment restrictions via conditional empirical likelihood
• A robust test for non-nested hypotheses
• Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
• Special issue of \textit{Econometric Theory} in honor of Professor Richard J. Smith: guest editors' introduction
• Generalized empirical likelihood-based model selection criteria for moment condition models
• Nonnested testing in models estimated via generalized method of moments
• A general class of non-nested test statistics for models defined through moment restrictions
• Model selection tests for moment inequality models
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• Point estimation with exponentially tilted empirical likelihood
• Assessing misspecified asset pricing models with empirical likelihood estimators
• Optimal comparison of misspecified moment restriction models under a chosen measure of fit

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