Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments

DOI10.2307/2951576zbMath0761.62171OpenAlexW2054682659MaRDI QIDQ4013242

Richard J. Smith

Publication date: 27 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951576

zbMATH Keywords

serial correlationheteroskedasticitynon-nested testsCox-type testsgeneralized method of moments estimatorsnon-nested linear regression modelsencompassing testscompeting modelsinstrumental variables regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (15)

Linear instrumental variables model averaging estimation ⋮ Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models ⋮ Simulation based selection of competing structural econometric models ⋮ Identifying the source of information rigidities in the expectations formation process ⋮ A monte carlo study of tests for non-nested models estimated by generalized method of moments ⋮ Quasi-Bayesian model selection ⋮ LASSO-TYPE GMM ESTIMATOR ⋮ 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 ⋮ Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models ⋮ An encompassing test for non-nested quantile regression models ⋮ Testing for non-nested conditional moment restrictions using unconditional empirical likelihood ⋮ TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD ⋮ Moment and IV Selection Approaches: A Comparative Simulation Study ⋮ Generalized empirical likelihood non-nested tests

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