Generalized empirical likelihood non-nested tests

DOI10.1016/S0304-4076(01)00115-4zbMath1030.62036OpenAlexW2083188108MaRDI QIDQ1858928

Richard J. Smith, Joaquim J. S. Ramalho

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00115-4

zbMATH Keywords

GMMempirical likelihoodCox-type testsmoment encompassing testsparametric encompassing tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Point estimation (62F10) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Related Items (13)

Linear instrumental variables model averaging estimation ⋮ Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models ⋮ A robust test for non-nested hypotheses ⋮ GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS ⋮ SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION ⋮ A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS ⋮ Model selection tests for moment inequality models ⋮ Assessing misspecified asset pricing models with empirical likelihood estimators ⋮ Optimal comparison of misspecified moment restriction models under a chosen measure of fit ⋮ An encompassing test for non-nested quantile regression models ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ Testing for non-nested conditional moment restrictions using unconditional empirical likelihood ⋮ TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Testing nonnested Euler conditions with quadrature-based methods of approximation
• Empirical likelihood and general estimating equations
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Implied Probabilities in GMM Estimators
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• Miscellanea. Bartlett adjustment of empirical discrepancy statistics
• Likelihood Ratio Specification Tests
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Information Theoretic Approaches to Inference in Moment Condition Models
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