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Discrepancy Risk Model Selection Test theory for comparing possibly misspecified or nonnested models

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Author Info
R. Golden ()
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File URL: http://hdl.handle.net/10.1007/BF02294799
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Publisher Info
Article provided by Springer in its journal Psychometrika.

Volume (Year): 68 (2003)
Issue (Month): 2 (June)
Pages: 229-249
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Handle: RePEc:spr:psycho:v:68:y:2003:i:2:p:229-249

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Related research
Keywords: asymptotic statistical theory; model selection; hypothesis-testing; model misspecification; time-series; m-estimation;

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References listed on IDEAS
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.:
  1. 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. [Downloadable!] (restricted)
  2. Chen, Kay-Yut & Plott, Charles R., 1998. "Nonlinear Behavior in Sealed Bid First Price Auctions," Games and Economic Behavior, Elsevier, vol. 25(1), pages 34-78, October. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Barth, Mary E. & Beaver, William H. & Landsman, Wayne R., 1998. "Relative valuation roles of equity book value and net income as a function of financial health," Journal of Accounting and Economics, Elsevier, vol. 25(1), pages 1-34, February. [Downloadable!] (restricted)
  5. Douglas Rivers & Quang Vuong, 2002. "Model selection tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 1-39, June. [Downloadable!] (restricted)
  6. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. 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. [Downloadable!]
  2. 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. [Downloadable!] (restricted)
  3. Chun, So Yeon & Alexander, Shapiro, 2009. "Normal versus Noncentral Chi-square Asymptotics of Misspecified Models," MPRA Paper 17310, University Library of Munich, Germany. [Downloadable!]
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