Methods of indirect, simulation-based inference for nested and nonnested hypotheses are developed. The methods make use of instrumental models and are applicable in cases where likelihood-based inference is numerically unfeasible. The asymptotic normality of an indirect Wald vector is shown and the implicit null hypotheses of the proposed tests are characterized as generalizations of the standard encompassing hypothesis. Some of the tests generalize well-known instrumental variable methods and Hausman-Wu specification tests.
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Article provided by Econometric Society in its journal Econometrica.
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Andrew Chesher ; Geert Dhaene ; Christian Gourieroux ; Olivier Scaillet, .
"Bartlett Identities Tests,"
Working Papers
99-32, Centre de Recherche en Economie et Statistique.
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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).
[Downloadable!]