HANDBOOK OF ECONOMETRICS 44

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

44. Testing Non-Nested Hypotheses - C. Gourieroux and A. Monfort.pdf (2.39 MB, 需要: 3 个论坛币)

2009-12-3 12:21:19 上传

需要: 3 个论坛币  [购买]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：econometrics Econometric handbook metrics econom econometrics handbook

Chapter 44
TESTING NON-NESTED HYPOTHESES
C. GOURIEROUX
CREST-CEPREMAP
A. MONFORT
CREST-INSEE
Contents
1. Introduction
2. Non-nested hypotheses
2.1. Definitions
2.2. Pseudo-true values
2.3. Semi-parametric hypotheses
2.4. Examples
2.5. Symmetry of the problem
3. Testing procedures
3.1. Maximum likelihood estimator under misspecification
3.2. The extended Wald test
3.3. The extended score test
3.4. The Cox procedure
3.5. Application to the choice of regressors in linear models
3.6. Applications to qualitative models
4. Artificial nesting models
4.1. Examples
4.2. Local expansions of artificial nesting models
4.3. A score test based on a modified Atkinson’s compound model
4.4. The partially modified Atkinson’s compound model
5. Comparison of testing procedures
5.1. Asymptotic equivalence of test statistics
5.2. Asymptotic comparisons of power functions
5.3. Exact finite sample results
……