Liao, Zhipeng; Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 983-1017
This paper proposes a new model selection test for the statistical comparison of semi/non-parametric models based on a general quasi-likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier...