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We define, in a dynamic framework, the notions of binding functions, images, reflecting sets, indirect identification, indirect information, and encompassing. We study the properties of the notion of encompassing when the true distribution does not necessarily belong to one of the two competing...
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In this paper, we study new definitions of noncausality, set in a continuous time framework, illustrated by the intuitive example of stochastic volatility models. Then, we define CIMA processes (i.e., processes admitting a continuous time invertible moving average representation), for which...
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In this paper the testing and estimation problems are discussed in the case of serial correlation. Various models are particular cases of the general framework considered: the nonlinear simultaneous equations models, the probit models, the tobit models, the disequilibrium models, the frontier...
Persistent link: https://www.econbiz.de/10008739799
A general framework for asymptotic tests is proposed. The framework contains as particular cases tests based on various estimation techniques: maximum likelihood methods, pseudo-maximum likelihood (PML) methods and quasi-generalized PML methods, <italic>m</italic>-estimation methods, moments or generalized...
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This paper is the text of the 1994 Tjalling Koopmans Lecture of the Cowles Foundation. The aim of this lecture was to survey the roles of misspecified models in econometrics. Through 10 stories we show how the misspecifipation problems can be dealt with and how misspecified models can play a...
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