An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
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Publication:918589
DOI10.1016/0304-4076(90)90003-CzbMath0706.62021OpenAlexW2147985821MaRDI QIDQ918589
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(90)90003-c
cross-sectiontime-seriesnested modelsnonlinear dynamic modelsLagrange multiplier testHausman testlinear least-squares regressionsconditional mean encompassing testsconditional mean misspecificationencompassing principlenonnested alternativesweighted nonlinear least-squares estimators
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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