The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses
It is shown that the Cox modified likelihood-ratio statistic for testing partially non-nested hypotheses <italic>H</italic><sub>0</sub> and <italic>H</italic><sub>1</sub> is asymptotically equivalent to a bilinear form in nondegenerate asymptotically normal random vectors for sequences of data-generating processes converging to the intersection of <italic>H</italic><sub>0</sub> and <italic>H</italic><sub>1</sub> but not necessarily belonging to either <italic>H</italic><sub>0</sub> or <italic>H</italic><sub>1</sub>. One of the asymptotically normal vectors is the complete parametric encompassing vector of Mizon and Richard, while the other is a close relative. The results are valid regardless of whether or not the data-generating process is exponential and imply that the Cox statistic is not generally asymptotically locally normal. This corrects an assumption made in recent literature.
Year of publication: |
1992
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Authors: | Szroeter, Jerzy |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 8.1992, 04, p. 553-569
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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