Chesher, Andrew (University of Bristol) Dhaene, Geert (UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE); Université de Mons-Hainaut) Gouriéroux, Christian (CREST; CEPREMAP) Scaillet, Olivier () (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES); UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut d’Administration et de Gestion (IAG))
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In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-know example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequence of testable restrictions on the data generating process. When all the restrictions are considered jointly, they are often complete, in the sense that they are satisfied if and only if the model is correctly specified. We show that this is the case for normal, exponential and Poisson models. A test of the joint validity of an arbitrarily chosen subset of restrictions is proposed, and its first order asymptotic properties are presented. An interpretation of the test as a score test for neglected parameter heterogeneity is also given.
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Chesner, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999.
"Bartlett Identities Tests,"
Papers
9932, Institut National de la Statistique et des Etudes Economiques-.
Chesher, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999.
"Bartlett Identities Tests,"
Papers
9939, Catholique de Louvain - Center for Operations Research and Economics.
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
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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.:
Gourieroux, C. & Monfort, A., 1991.
"Testing Non Nested Hypotheses,"
Papers
9207, Institut National de la Statistique et des Etudes Economiques-.
Other versions:
Gourieroux, C. & Monfort, A., 1986.
"Testing non-nested hypotheses,"
Handbook of Econometrics,
in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 44, pages 2583-2637
Elsevier.
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