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Mutual encompassing and model equivalence

Author

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  • Lu, M.
  • Mizon, G.E.

Abstract

This paper analyses the properties of mutual encompassing and its relationship to the KLIC equivalence between statistical models. It is shown that models are KLIC equivalent if and only if they are mutually encompassing and mutually Cox-encompassing. Further, within the exponential family encompassing implies Cox-encompassing and so mutual encompassing is necessary and sufficient for KLIC equivalence in this family. In addition, it is shown that mutual encompassing is transitive for models in the exponential family

Suggested Citation

  • Lu, M. & Mizon, G.E., 1997. "Mutual encompassing and model equivalence," Discussion Paper Series In Economics And Econometrics 9702, Economics Division, School of Social Sciences, University of Southampton.
  • Handle: RePEc:stn:sotoec:9702
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    Cited by:

    1. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.

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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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