Testing nested or non-nested hypotheses

DOI10.1016/0304-4076(83)90121-5zbMATH Open0551.62075OpenAlexW2027215137MaRDI QIDQ800679FDOQ800679

Authors Alain Monfort, Alain Trognon, Christian Gouriéroux

Publication date 1983

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

Full work available at URL https://doi.org/10.1016/0304-4076(83)90121-5

zbMATH Keywords

non-nested hypothesesscore functionWald statisticpseudo-maximum likelihood estimatordifference between two estimatorspseudo-true value

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Foundations and philosophical topics in statistics (62A01)

Recommendations

• scientific article; zbMATH DE number 4126507
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Cites work

• scientific article; zbMATH DE number 3213229 (Why is no real title available?)
• scientific article; zbMATH DE number 3320085 (Why is no real title available?)
• scientific article; zbMATH DE number 3357756 (Why is no real title available?)
• A Remark on Hausman's Specification Test
• Information Criteria for Discriminating Among Alternative Regression Models
• Maximum Likelihood Estimation of Misspecified Models
• On the General Problem of Model Selection
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Regularity conditions for Cox's test of non-nested hypotheses
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Some useful equivalence properties of Hausman's test
• Specification Tests in Econometrics
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• Testing Non-Nested Nonlinear Regression Models

Cited in

(28)

• Model selection tests for nonlinear dynamic models
• Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
• An illustration of Cox's non-nested testing procedure for logit and probit models
• Monte Carlo sampling procedure and Bayesian encompassing tests. Normal case
• Post-\(J\) test inference in non-nested linear regression models
• Non-nested hypothesis testing inference for GAMLSS models
• Corrigendum to: ``The pseudo-true score encompassing test for non-nested hypotheses
• Semiparametric score driven volatility models
• Nonnested hypothesis testing in the class of varying dispersion beta regressions
• Asymptotic behavior of encompassing test for independent processes: case of linear and nearest neighbor regressions
• scientific article; zbMATH DE number 4126507 (Why is no real title available?)
• Testing nested and non-nested periodically integrated autoregressive models
• A diagnostic test without numerical integration
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• An encompassing test for non-nested quantile regression models
• A simplified method of calculating the distribution free Cox test
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• CONDITIONING IN DYNAMIC MODELS
• Model selection in magnetic resonance imaging
• scientific article; zbMATH DE number 3958499 (Why is no real title available?)
• Misspecified structural change, threshold, and Markov-switching models.
• The significance of testing empirical non-nested models
• scientific article; zbMATH DE number 3986446 (Why is no real title available?)
• Statistical inference in non-nested econometric models
• Alternative procedures and associated tests of significance for non- nested hypotheses
• Computing Wald criteria for nested hypotheses
• Encompassing and indirect inference
• Encompassing in stationary linear dynamic models

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