Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10003331586
We show that the asymptotic mean of the log-likelihood ratio in a misspecified model is a differential geometric quantity that is related to the exponential curvature of Efron (1978), Amari (1982), and the preferred point geometry of Critchley et al. (1993, 1994). The mean is invariant with...
Persistent link: https://www.econbiz.de/10003862849
Persistent link: https://www.econbiz.de/10003412836
Persistent link: https://www.econbiz.de/10003978505
A model selection procedure based on a general criterion function, with an example of the Kullback-Leibler Information Criterion (KLIC) using quasi-likelihood functions, is considered for dynamic non-nested models. We propose a robust test which generalizes Lien and Vuong's (1987) test with a...
Persistent link: https://www.econbiz.de/10014054565