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NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS

Hall, Alastair R.; Pelletier, Denis - In: Econometric Theory 27 (2011) 02, pp. 443-456

We analyze the limiting distribution of the Rivers and Vuong (2002, <italic>Econometrics Journal</italic> 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the...

Persistent link: https://www.econbiz.de/10009002922

THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP

Inoue, Atsushi; Kilian, Lutz - In: Econometric Theory 19 (2003) 06, pp. 944-961

Persistent link: https://www.econbiz.de/10005104522

COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY

Hall, Alastair R.; Inoue, Atsushi; Peixe, Fernanda P.M. - In: Econometric Theory 19 (2003) 06, pp. 962-983

Persistent link: https://www.econbiz.de/10005104662

A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

Inoue, Atsushi; Solon, Gary - In: Econometric Theory 22 (2006) 05, pp. 835-851

Persistent link: https://www.econbiz.de/10005411722

TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES

Inoue, Atsushi - In: Econometric Theory 17 (2001) 01, pp. 156-187

Persistent link: https://www.econbiz.de/10005610508