Simulation based selection of competing structural econometric models

DOI10.1016/J.JECONOM.2008.10.001MaRDI QIDQ301967zbMATH OpenOpenAlexFDO

Authors Tong Li

Publication date 4 July 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.10.001

zbMATH Keywords

model selectionnon-nested structural modelssimulated mean squared error of predictions

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Model selection tests for nonlinear dynamic models
• scientific article; zbMATH DE number 169170
• Structural change tests for simulated method of moments.
• On the role of simulation in the statistical evaluation of econometric models
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION

Cites work

• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3320085 (Why is no real title available?)
• A new look at the statistical model identification
• An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
• Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
• Asymptotic Inference about Predictive Ability
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Econometric specification of stochastic discount factor models
• Econometrics of First-Price Auctions
• Econometrics of first-price auctions with entry and binding reservation prices
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Model selection tests for nonlinear dynamic models
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• Piecewise Pseudo-Maximum Likelihood Estimation in Empirical Models of Auctions
• Superconsistent estimation and inference in structural econometric models using extreme order statistics.
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Using all bids in parametric estimation of first-price auctions

Cited in

(6)

• A corrected Clarke test for model selection and beyond
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• scientific article; zbMATH DE number 1051719 (Why is no real title available?)
• Econometric analysis of microscopic simulation models
• Misspecified semiparametric model selection with weakly dependent observations
• Model selection using union-intersection principle for non nested models

This page was built for publication: Simulation based selection of competing structural econometric models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q301967)