Testing nonnested Euler conditions with quadrature-based methods of approximation
AbstractIn This Paper We Present a Test for Discriminating Between Two Non-Nested Sets of Euler Conditions Which Have Been Estimated Using Gmm. the Test Is Based on the Encompassing Principle of Mizon and Richard (1986), and Uses Tauchen's (1986) Quadrature-Based Methods for Approximating the Expectation of Nonlinear Functions of Stationary Random Variables. the Test Is Compared to the Procedure Suggested by Singleton (1986).
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 46 (1990)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Ghysels, E. & Hall, A., 1987. "Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation," Cahiers de recherche 8703, Universite de Montreal, Departement de sciences economiques.
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- Otsu, Taisuke & Whang, Yoon-Jae, 2011.
"Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood,"
Cambridge University Press, vol. 27(01), pages 114-153, February.
- Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation for Research in Economics, Yale University.
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"Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit,"
Micro Theory Working Papers
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- Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers 1724, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
- Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008.
"Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood,"
Cowles Foundation Discussion Papers
1660, Cowles Foundation for Research in Economics, Yale University.
- Otsu, Taisuke & Seo, Myung Hwan & Whang, Yoon-Jae, 2012. "Testing for non-nested conditional moment restrictions using unconditional empirical likelihood," Journal of Econometrics, Elsevier, vol. 167(2), pages 370-382.
- 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.
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