Model Equivalence Tests in a Parametric Framework
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.
|Date of creation:||Feb 2013|
|Date of revision:|
|Publication status:||Published in Journal of Econometrics, vol. 178, n°3, janvier 2014, p. 414-425.|
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