Testing Separate Dynamic Nonlinear Econometric Models
نویسندگان
چکیده
A very general test statistic for contrasting two nested or nonnested dynamic nonlinear econometric models is presented. It is based on the idea of testing the specification of the first model by using the second model to generate moment conditions for the efficient method of moments (EMM) estimation procedure. The testing procedure also provides guidance as to what aspects of the model should be improved. A discussion of the large sample properties of the EMM estimator, the score function, and the associated specification test under model misspecification is also included.
منابع مشابه
Econometric Analysis of Nonlinear Dynamic Models with Applications in International Macroeconomics
The project "Econometric Analysis of Nonlinear Dynamic Models with Applications in International Macroeconomics" was an ESRC-funded project (reference number: R00235524) carried out in the Department of Applied Economics at the University of Cambridge and in the Department of Economics at the University of Leicester over the period 1/09/95 31/08/98. In what follows, we describe the aims of the ...
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