Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments

DOI10.2307/2951576MaRDI QIDQ4013242zbMATH OpenOpenAlexFDO

Authors Richard J. Smith

Publication date 27 September 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951576

zbMATH Keywords

competing modelsCox-type testsencompassing testsgeneralized method of moments estimatorsheteroskedasticityinstrumental variables regression modelsnon-nested linear regression modelsnon-nested testsserial correlation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cited in

(18)

• Linear instrumental variables model averaging estimation
• Generalized empirical likelihood non-nested tests
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• Simulation based selection of competing structural econometric models
• Testing for nonnested conditional moment restrictions via conditional empirical likelihood
• Nonnested testing in models estimated via generalized method of moments
• LASSO-TYPE GMM ESTIMATOR
• Hypothesis Testing with Efficient Method of Moments Estimation
• Quasi-Bayesian model selection
• A general class of non-nested test statistics for models defined through moment restrictions
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• A monte carlo study of tests for non-nested models estimated by generalized method of moments
• Optimal comparison of misspecified moment restriction models under a chosen measure of fit
• Moment and IV selection approaches: a comparative simulation study
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Identifying the source of information rigidities in the expectations formation process
• Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
• An encompassing test for non-nested quantile regression models

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