Reversed Score and Likelihood Ratio Tests
Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show 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, generating a likelihood ratio and a reversed likelihood ratio encompassing test. The ensued test statistics can be based on simulations if certain calculations are too difficult to carry out analytically. We study the first order asymptotic properties of the proposed test statistics under general conditions.
(This abstract was borrowed from another version of this item.)
|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex|
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
- Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
- Gourieroux, C. & Monfort, A., 1986. "Testing non-nested hypotheses," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 44, pages 2583-2637 Elsevier.
- Gouriéroux, Christian & Monfort, Alain, 1994.
"Testing, encompassing and simulating dynamic econometric models,"
CEPREMAP Working Papers (Couverture Orange)
- Gouriéroux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(02), pages 195-228, February.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Bierens, H.J., 1989.
"A consistent conditional moment test of functional form,"
Serie Research Memoranda
0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
- Sawa, Takamitsu, 1978. "Information Criteria for Discriminating among Alternative Regression Models," Econometrica, Econometric Society, vol. 46(6), pages 1273-91, November.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
- Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May.
- Donald W.K. Andrews, 1985.
"Asymptotic Results for Generalized Wald Tests,"
Cowles Foundation Discussion Papers
761R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1986.
- repec:cup:etheor:v:11:y:1995:i:2:p:195-228 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2000-60. 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: (Florian Sallaberry)
If references are entirely missing, you can add them using this form.