Likelihood Ratio Specification Tests
AbstractMoment based tests for mispecification of parametric models (e.g., of mean equals variance in a Poisson model) are studied. The moment restrictions under test are embedded in an extension of the model so that the moment test is a score test of the hypothesis that a vector of added parameters is zero. Second-order asymptotic properties of the likelihood ratio version of this test are studied. Unlike the conventional test, the likelihood ratio version is Bartlett correctable. The correction depends on the curvature at the origin of the function used to incorporate the moment restriction in the extended model.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 65 (1997)
Issue (Month): 3 (May)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995.
"Information Theoretic Approaches to Inference in Moment Condition Models,"
Harvard Institute of Economic Research Working Papers
1736, Harvard - Institute of Economic Research.
- Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc.
- Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
- Guido W Imbens, Phillip Johnson & Richard H Spady, . "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
- Harris, Mark N. & Zhao, Xueyan, 2007. "A zero-inflated ordered probit model, with an application to modelling tobacco consumption," Journal of Econometrics, Elsevier, vol. 141(2), pages 1073-1099, December.
- Elena Andreou & Bas J. M. Werker, 2012.
"An Alternative Asymptotic Analysis of Residual-Based Statistics,"
The Review of Economics and Statistics,
MIT Press, vol. 94(1), pages 88-99, February.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
- Elena Andreou & Bas J.M. Werker, 2010. "An Alternative Asymptotic Analysis of Residual-Based Statistics," University of Cyprus Working Papers in Economics 08-2010, University of Cyprus Department of Economics.
- Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J., 2014. "Neglected heterogeneity in moment condition models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 86-100.
- Christian Bontemps & Nour Meddahi, 2012.
"Testing distributional assumptions: A GMM aproach,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, 09.
- Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse.
- N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
- CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999.
"Bartlett identities tests,"
CORE Discussion Papers
1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Andrew Chesher & Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1999. "Bartlett Identities Tests," Working Papers 99-32, Centre de Recherche en Economie et Statistique.
- Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
- Esmeralda Ramalho, 2009.
"Covariate Measurement Error:Bias Reduction under Response-based Sampling,"
CEFAGE-UE Working Papers
2009_15, University of Evora, CEFAGE-UE (Portugal).
- Ramalho Esmeralda A., 2010. "Covariate Measurement Error: Bias Reduction under Response-Based Sampling," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-34, September.
- Richard Smith, 2004.
"GEL Criteria for Moment Condition Models,"
CeMMAP working papers
CWP19/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chesher, Andrew & Dumangane, Montezuma & Smith, Richard J., 2002. "Duration response measurement error," Journal of Econometrics, Elsevier, vol. 111(2), pages 169-194, December.
- Ramalho, Joaquim J. S. & Smith, Richard J., 2002. "Generalized empirical likelihood non-nested tests," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 99-125, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.