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Testing nested or non-nested hypotheses

Gouriéroux, Christian; Monfort, Alain; Trognon, Alain (1983), Testing nested or non-nested hypotheses, Journal of Econometrics, 21, 1, p. 83-115. http://dx.doi.org/10.1016/0304-4076(83)90121-5

Type
Article accepté pour publication ou publié
Date
1983
Journal name
Journal of Econometrics
Volume
21
Number
1
Publisher
Elsevier
Pages
83-115
Publication identifier
Metadata
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Author(s)
Gouriéroux, Christian
Monfort, Alain
Trognon, Alain
Abstract (EN)
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.
Subjects / Keywords
hypotheses; test statistic