Reversed Score and Likelihood Ratio Tests
AbstractTwo extensions of a model in the presence of an alternative model are proposed. The extensions are based on the score function of the alternative model. It is shown that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise to the standard score encompassing test, while the condition on the second extension induces a so-called reversed score encompassing test. A similar logic is applied to the likelihood ratio, thus generating a likelihood ratio and a reversed likelihood ratio encompassing test. The ensued test statistics can be based on simulations if certain calculations are to difficult to carry out analytically. We study the first-order asymptotic properties of the proposed test statistics under general conditions.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1746.
Date of creation: 01 Aug 2000
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Other versions of this item:
- Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Working Papers 2000-60, Centre de Recherche en Economie et Statistique.
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
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