NONNESTED TESTS FOR COMPETING MODELS ESTIMATED BY GENERALIZED-METHOD OF MOMENTS

被引：45
|
作者：
SMITH, RJ [1 ]
机构：
[1] UNIV CAMBRIDGE GONVILLE & CAIUS COLL,CAMBRIDGE CB2 1TA,ENGLAND
来源：
ECONOMETRICA | 1992年 / 60卷 / 04期
关键词：
COX TEST; ENCOMPASSING TEST; GENERALIZED METHOD OF MOMENTS; INSTRUMENTAL VARIABLES; NONNESTED HYPOTHESES;
D O I：
10.2307/2951576
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with heteroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented.
引用
收藏
页码：973 / 980
页数：8
相关论文
共 50 条
12345