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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- Marmer, Vadim & Otsu, Taisuke, 2012.
"Optimal comparison of misspecified moment restriction models under a chosen measure of fit,"
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- 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.
- Taisuke Otsu & Yoon-Jae Whang, 2005.
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1533, Cowles Foundation for Research in Economics, Yale University.
- Otsu, Taisuke & Whang, Yoon-Jae, 2011. "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, vol. 27(01), pages 114-153, February.
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