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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

58 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	83-115
Nombre de pages	33
journal	Journal of Econometrics
Volume	21
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/0304-4076(83)90121-5
état	Publié - 1 janv. 1983
Modification externe	Oui

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10.1016/0304-4076(83)90121-5

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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.",

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Testing nested or non-nested hypotheses

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