Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
نویسندگان
چکیده
منابع مشابه
Testing for Non-Nested Conditional Moment Restrictions using Unconditional Empirical Likelihood∗
We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional moment restrictions, we construct Kolmogorov-Smirnov and Cramér-von Mises type moment encompassing te...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2012
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.09.022