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An Encompassing Approach To Conditional Mean Tests With Applications To Testing Nonnested Hypotheses

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  • WOOLDRIDGE, J.M

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Bibliographic Info

Paper provided by Massachusetts Institute of Technology (MIT), Department of Economics in its series Working papers with number 511.

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Length: 27 pages
Date of creation: 1989
Date of revision:
Handle: RePEc:mit:worpap:511

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Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA
Phone: (617) 253-3361
Fax: (617) 253-1330
Web page: http://econ-www.mit.edu/
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Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA
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Keywords: time series ; economic models ; tests ; evaluation;

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Cited by:
  1. repec:wyi:journl:002087 is not listed on IDEAS
  2. Tong Li, 2006. "Simulation based selection of competing structural econometric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP16/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Chen, Yi-Ting, 2006. "Non-nested tests for competing U.S. narrow money demand functions," Economic Modelling, Elsevier, Elsevier, vol. 23(2), pages 339-363, March.
  4. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  5. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 261-270, June.
  6. Yongmiao Hong, 2013. "Serial Correlation and Serial Dependence," Papers 2013-10-14, Working Paper.
  7. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, Elsevier, vol. 157(1), pages 120-128, July.
  8. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, Elsevier, vol. 106(2), pages 271-295, February.
  9. repec:wyi:journl:002120 is not listed on IDEAS
  10. Kuan, Chung-Ming & Lin, Hsin-Yi, 2010. "An encompassing test for non-nested quantile regression models," Economics Letters, Elsevier, Elsevier, vol. 107(2), pages 257-260, May.
  11. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1533, Cowles Foundation for Research in Economics, Yale University.
  12. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 838, Board of Governors of the Federal Reserve System (U.S.).
  13. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, Elsevier, vol. 148(2), pages 114-123, February.
  14. Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).

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