Nonnested testing in models estimated via generalized method of moments

DOI10.1017/S0266466610000344MaRDI QIDQ3168877zbMATH OpenWikidataFDO

Authors Alastair Hall, Denis Pelletier

Publication date 27 April 2011

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466610000344

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

Recommendations

• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• Model selection tests for nonlinear dynamic models
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Model specification tests against non-nested alternatives
• Generalized empirical likelihood non-nested tests

Cites work

• Generalized method of moments specification testing
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Model selection tests for nonlinear dynamic models
• Order estimation in ARMA-models by Lagrangian multiplier tests
• The large sample behaviour of the generalized method of moments estimator in misspecified models

Cited in

(14)

• Generalized empirical likelihood non-nested tests
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• A cautionary note on tests of overidentifying restrictions
• 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
• Misspecified semiparametric model selection with weakly dependent observations
• Optimal comparison of misspecified moment restriction models under a chosen measure of fit
• Chi-squared tests for evaluation and comparison of asset pricing models
• Specification tests for time-varying coefficient models
• Moment testing for interaction terms in structural equation modeling
• Testing firm conduct
• Distinguishing Time-Varying Factor Models
• A uniform model selection test for semiparametric models

This page was built for publication: Nonnested testing in models estimated via generalized method of moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168877)