A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models
نویسندگان
چکیده
منابع مشابه
A nondegenerate Vuong test
In this paper, I propose a one-step nondegenerate test as an alternative to the classical Vuong (1989) tests. I show that the new test achieves uniform asymptotic size control in both the overlapping and the non-overlapping cases, while the classical Vuong tests do not. Meanwhile, the power of the new test can be substantially better than the two-step classical Vuong test and is not dominated b...
متن کاملSupplement to “ A nondegenerate Vuong test ”
Let Y be generated from ∼N(μ υ2), where μ= √ e2·lr−1+υ − υ2, where lr ∈ {x ∈ R : e2·lr−1+υ − υ2 ≥ 0}. Under DGPs of this form, E[Λi(φ∗)] = lr . Thus, varying lr controls how far the deviation is from H0. On the other hand, when lr = 0, varying the parameter υ2 controls how large ω2 is. Setting υ2 = 1 makes ω2 = 0, and setting υ2 far from 1 makes ω2 large. First, I fix lr = 0 and study the null ...
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2020
ISSN: 1759-7323
DOI: 10.3982/qe1312