Testing nested or non-nested hypotheses

Christian Gourieroux; Alain Monfort; Alain Trognon

doi:10.1016/0304-4076(83)90121-5

Testing nested or non-nested hypotheses

Christian Gourieroux
, Alain Monfort
, Alain Trognon

Université Paris Dauphine

Research output: Contribution to journal › Article › peer-review

Abstract

This paper presents a test procedure for nested or non-nested hypotheses. The test statistic is based on the difference between two estimators of the pseudo-true value as defined for instance by Sawa. This statistic is similar to the usual Wald statistic in the case of nested hypotheses and it can be replaced by an asymptotically equivalent one deduced from the score function.

Original language	English
Pages (from-to)	83-115
Number of pages	33
Journal	Journal of Econometrics
Volume	21
Issue number	1
DOIs	https://doi.org/10.1016/0304-4076(83)90121-5
Publication status	Published - 1 Jan 1983
Externally published	Yes

Access to Document

10.1016/0304-4076(83)90121-5

Cite this

@article{a4d567fb580248caaaad37e37f683fca,

title = "Testing nested or non-nested hypotheses",

abstract = "This paper presents a test procedure for nested or non-nested hypotheses. The test statistic is based on the difference between two estimators of the pseudo-true value as defined for instance by Sawa. This statistic is similar to the usual Wald statistic in the case of nested hypotheses and it can be replaced by an asymptotically equivalent one deduced from the score function.",

author = "Christian Gourieroux and Alain Monfort and Alain Trognon",

year = "1983",

month = jan,

day = "1",

doi = "10.1016/0304-4076(83)90121-5",

language = "English",

volume = "21",

pages = "83--115",

journal = "Journal of Econometrics",

issn = "0304-4076",

number = "1",

}

TY - JOUR

T1 - Testing nested or non-nested hypotheses

AU - Gourieroux, Christian

AU - Monfort, Alain

AU - Trognon, Alain

PY - 1983/1/1

Y1 - 1983/1/1

N2 - This paper presents a test procedure for nested or non-nested hypotheses. The test statistic is based on the difference between two estimators of the pseudo-true value as defined for instance by Sawa. This statistic is similar to the usual Wald statistic in the case of nested hypotheses and it can be replaced by an asymptotically equivalent one deduced from the score function.

AB - This paper presents a test procedure for nested or non-nested hypotheses. The test statistic is based on the difference between two estimators of the pseudo-true value as defined for instance by Sawa. This statistic is similar to the usual Wald statistic in the case of nested hypotheses and it can be replaced by an asymptotically equivalent one deduced from the score function.

UR - https://www.scopus.com/pages/publications/0002617682

U2 - 10.1016/0304-4076(83)90121-5

DO - 10.1016/0304-4076(83)90121-5

M3 - Article

AN - SCOPUS:0002617682

SN - 0304-4076

VL - 21

SP - 83

EP - 115

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -

Testing nested or non-nested hypotheses

Abstract

Access to Document

Other files and links

Fingerprint

Cite this