Encompassing and indirect inference
From MaRDI portal
Publication:3598288
DOI10.1007/BF02589066zbMath1448.62202OpenAlexW2005810494MaRDI QIDQ3598288
Christian Gouriéroux, Alain Monfort
Publication date: 3 February 2009
Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02589066
Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Stationary stochastic processes (60G10)
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Cites Work
- Testing nested or non-nested hypotheses
- The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
- Simulated Moments Estimation of Markov Models of Asset Prices
- Pseudo Maximum Likelihood Methods: Theory
- Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models