Advanced Search
MyIDEAS: Login

Non-Nested Testing in Models Estimated via Generalized Method of Moments


Author Info

  • Alastair R. Hall

    (Economics, School of Social Sciences, University of Manchester)

  • Denis Pelletier

    (Department of Economics, North Carolina State University)


Rivers and Vuong (2002) develop a very general framework for choosing between two competing dynamic models. Within their framework, inference is based on a statistic that compares measures of goodness of fit between the two models. The null hypothesis is that the models have equal measures of goodness of fit; one model is preferred if its goodness of fit is statistically significantly smaller than its competitor. Under the null hypothesis, Rivers and Vuong (2002) show that their test statistic has a standard normal distribution under generic conditions that are argued to allow for a variety of estimation methods including Generalized Method of Moments (GMM). In this paper, we analyze the limiting distribution of Rivers and Vuong's (2002) statistic under the null hypothesis when inference is based on a comparison of GMM minimands evaluated at GMM estimators. It is shown that the limiting behaviour of this statistic depends on whether the models in question are correctly specified, locally misspecified or misspecified. Specifically, it is shown that: (i) if both models are correctly specified or locally misspecified then Rivers and Vuong's (2002) generic conditions are not satisfied, and the limiting distribution of the test statistic is non-standard under the null; (ii) if both models are misspecified then the generic conditions are satisfied, and so the statistic has a standard normal distribution under the null. In the latter case it is shown that the choice of weighting matrices affects the outcome of the test and thus the ranking of the models.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Our checks indicate that this address may not be valid because: 404 Failed to CWD to directory economics [economics: No such file or directory]. If this is indeed the case, please notify (Theofanis Tsoulouhas)
Download Restriction: no

Bibliographic Info

Paper provided by North Carolina State University, Department of Economics in its series Working Paper Series with number 011.

as in new window
Length: 40 pages
Date of creation: Mar 2007
Date of revision: Mar 2007
Handle: RePEc:ncs:wpaper:011

Note: First draft 2007-03
Contact details of provider:
Phone: (919) 515-3274
Web page:
More information through EDIRC

Related research

Keywords: Generalized Method of Moments; Non-nested Hypothesis Testing; Model Selection;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
  2. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
  3. Paulo M.D.C. Parente & J.M.C. Santos Silva, 2011. "A cautionary note on tests for overidentifying restrictions," Economics Discussion Papers 699, University of Essex, Department of Economics.
  4. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers 1724, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:ncs:wpaper:011. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Theofanis Tsoulouhas) The email address of this maintainer does not seem to be valid anymore. Please ask Theofanis Tsoulouhas to update the entry or send us the correct address.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.