Testing nonnested Euler conditions with quadrature-based methods of approximation
From MaRDI portal
Publication:805126
DOI10.1016/0304-4076(90)90011-HzbMath0728.62105MaRDI QIDQ805126
Eric Ghysels, Alastair R. Hall
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
generalized method of momentsconstruction of local alternatives to Euler equationsCox's encompassing principlenonnested sets of moment conditionsquadrature- based methods of approximationtesting Euler conditions of optimal control
Related Items
Model selection tests for nonlinear dynamic models ⋮ 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 ⋮ Testing for non-nested conditional moment restrictions using unconditional empirical likelihood ⋮ TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD ⋮ Generalized empirical likelihood non-nested tests
Cites Work
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Semi-Nonparametric Maximum Likelihood Estimation
- Misspecified models with dependent observations
- Exogeneity
- Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
- Implicit Alternatives and the Local Power of Test Statistics
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Some Non-Nested Hypothesis Tests and the Relations Among Them
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Central limit theorems for time series regression