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Model Equivalence Tests in a Parametric Framework

  • Lavergne, Pascal

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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