The encompassing principle has been carefully and precisely defined in various contexts, since its first appearance in the 1980s literature in numerous papers by Hendry, Mizon and Richard. Since then, several distinct notions of encompassing have been proposed and still coexist in the literature. We describe, illustrate and connect these notions in this paper. We start with the intuitive properties of exact encompassing between estimated models and compare it with its testable counterpart, approximate encompassing. We examine these notions and their main properties within static and dynamic, parametric and non-parametric, classical and Bayesian models and estimators. Encompassing or the lack of encompassing, is also studied via the concepts of parsimonious and partial encompassing. Pseudo-true values, which are central elements in measuring and testing approximate encompassing, are defined in line with the concept of specificity between models. We also examine the role played by the data generating process in the different approaches in the literature. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 70 (2008) Issue (Month): s1 (December) Pages: 721-750 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF