Non-Nested Testing in Models Estimated via Generalized Method of Moments1
نویسندگان
چکیده
We analyze the limiting distribution of Rivers and Vuong’s (2002) statistic for choosing between two competing dynamic models based on a comparison of GMM minimands. It is shown that: (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if both models are correctly specified or locally misspecified then the limiting distribution of the test statistic is nonstandard under the null. JEL classification: C10, C32
منابع مشابه
A new method for fuzzification of nested dummy variables by fuzzy clustering membership functions and its application in financial economy
In this study, the aim is to propose a new method for fuzzification of nested dummy variables. The fuzzification idea of dummy variables has been acquired from non-linear part of regime switching models in econometrics. In these models, the concept of transfer functions is like the notion of fuzzy membership functions, but no principle or linguistic sentence have been used for inputs. Consequen...
متن کاملA Class of Nested Iteration Schemes for Generalized Coupled Sylvester Matrix Equation
Global Krylov subspace methods are the most efficient and robust methods to solve generalized coupled Sylvester matrix equation. In this paper, we propose the nested splitting conjugate gradient process for solving this equation. This method has inner and outer iterations, which employs the generalized conjugate gradient method as an inner iteration to approximate each outer iterate, while each...
متن کاملApproximately generalized additive functions in several variables via fixed point method
In this paper, we obtain the general solution and the generalized Hyers-Ulam-Rassias stability in random normed spaces, in non-Archimedean spaces and also in $p$-Banach spaces and finally the stability via fixed point method for a functional equationbegin{align*}&D_f(x_{1},.., x_{m}):= sum^{m}_{k=2}(sum^{k}_{i_{1}=2}sum^{k+1}_{i_{2}=i_{1}+1}... sum^{m}_{i_{m-k+1}=i_{m-k}+1}) f(sum^{m}_{i=1, i...
متن کاملTwo-tier Supplier Base Efficiency Evaluation Via Network DEA: A Game Theory Approach
In today's competitive markets, firms try to reduce their supply cost by selecting efficient suppliers using different techniques. Several methods can be applied to evaluate the efficiency of supplier base. This paper develops generalized network data envelopment analysis models to examine the efficiency of two-tier supplier bases under cooperative and non-cooperative strategies where each tier...
متن کاملTesting 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...
متن کامل