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Model Equivalence Tests in a Parametric Framework

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  • Lavergne, Pascal

Abstract

In empirical research, one commonly aims to obtain evidence in favor of re- strictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoret- ical framework based on the Kullback-Leibler information to assess the approximate validity of multivariate restrictions in parametric models. I construct tests that are locally asymptotically maximin and locally asymptotically uniformly most powerful invariant. The tests are applied to three different empirical problems.

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Paper provided by Toulouse School of Economics (TSE) in its series TSE Working Papers with number 379.

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Date of creation: Feb 2013
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Publication status: Published in Journal of Econometrics, vol.�178, n°3, janvier 2014, p.�414-425.
Handle: RePEc:tse:wpaper:26789

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  5. Liu, Zhenjuan & Stengos, Thanasis, 1999. "Non-linearities in Cross-Country Growth Regressions: A Semiparametric Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 527-38, Sept.-Oct.
  6. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation for Research in Economics, Yale University.
  7. King, Robert G. & Levine, Ross, 1993. "Finance and growth : Schumpeter might be right," Policy Research Working Paper Series 1083, The World Bank.
  8. Mankiw, N Gregory & Romer, David & Weil, David N, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 407-37, May.
  9. Anderson, Gordon & Blundell, Richard, 1983. "Testing Restrictions in a Flexible Dynamic Demand System: An Application to Consumers' Expenditure in Canada," Review of Economic Studies, Wiley Blackwell, vol. 50(3), pages 397-410, July.
  10. Nelson, Forrest D & Savin, N E, 1990. "The Danger of Extrapolating Asymptotic Local Power," Econometrica, Econometric Society, vol. 58(4), pages 977-81, July.
  11. Lillard, Lee A & Aigner, Dennis J, 1984. "Time-of-Day Electricity Consumption Response to Temperature and the Ownership of Air Conditioning Appliances," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 40-53, January.
  12. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  13. King, Robert G. & Levine, Ross, 1993. "Finance and growth : Schumpeter might be right," Policy Research Working Paper Series 1083, The World Bank.
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