NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
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Publication:3168877
DOI10.1017/S0266466610000344zbMath1210.62240WikidataQ57436387 ScholiaQ57436387MaRDI QIDQ3168877
Denis Pelletier, Alastair R. Hall
Publication date: 27 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)
Related Items (7)
Misspecified semiparametric model selection with weakly dependent observations ⋮ Specification tests for time-varying coefficient models ⋮ A cautionary note on tests of overidentifying restrictions ⋮ A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS ⋮ Optimal comparison of misspecified moment restriction models under a chosen measure of fit ⋮ Chi-squared tests for evaluation and comparison of asset pricing models ⋮ Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
Cites Work
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- Order estimation in ARMA-models by Lagrangian multiplier tests
- Generalized method of moments specification testing
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Model selection tests for nonlinear dynamic models
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