Discrepancy Risk Model Selection Test theory for comparing possibly misspecified or nonnested models
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Bibliographic InfoArticle provided by Springer in its journal Psychometrika.
Volume (Year): 68 (2003)
Issue (Month): 2 (June)
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Web page: http://www.springerlink.com/link.asp?id=112911
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Douglas Rivers & Quang Vuong, 2002. "Model selection tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 1-39, June.
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- Hidetoshi Shimodaira, 1997. "Assessing the Error Probability of the Model Selection Test," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(3), pages 395-410, September.
- Vuong, Quang H. & Wang, Weiren, 1993. "Minimum chi-square estimation and tests for model selection," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 141-168, March.
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- Chun, So Yeon & Alexander, Shapiro, 2009. "Normal versus Noncentral Chi-square Asymptotics of Misspecified Models," MPRA Paper 17310, University Library of Munich, Germany.
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"Chi-squared tests for evaluation and comparison of asset pricing models,"
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- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011. "Chi-squared tests for evaluation and comparison of asset pricing models," Working Paper 2011-08, Federal Reserve Bank of Atlanta.
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"Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology,"
Journal of Finance,
American Finance Association, vol. 68(6), pages 2617-2649, December.
- Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," Working Paper 2009-11, Federal Reserve Bank of Atlanta.
- Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc.
- Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
- Shapiro, Alexander, 2009. "Asymptotic normality of test statistics under alternative hypotheses," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 936-945, May.
- Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
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