Model Selection Tests for Conditional Moment Inequality Models
AbstractIn this paper, we propose a Vuong (1989)-type model selection test for conditional moment inequality models. The test uses a new average generalized empirical likelihood (AGEL) criterion function designed to incorporate full restriction of the conditional model. We also introduce a new adjustment to the test statistic making it asymptotically pivotal whether the candidate models are nested or nonnested. The test uses simple standard normal critical value and is shown to be asymptotically similar, to be consistent against all fixed alternatives and to have nontrivial power against n-1/2-local alternatives. Monte Carlo simulations demonstrate that the finite sample performance of the test is in accordance with the theoretical prediction.
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Bibliographic InfoPaper provided by Institute of Economics, Academia Sinica, Taipei, Taiwan in its series IEAS Working Paper : academic research with number 13-A004.
Length: 45 pages
Date of creation: May 2013
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Web page: http://www.econ.sinica.edu.tw/index.php?foreLang=en
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Asymptotic size; Model selection test; Conditional moment inequalities; Partial identi- cation; Generalized empirical likelihood;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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