Testing nested or non-nested hypotheses
Gouriéroux, Christian; Monfort, Alain; Trognon, Alain (1983), Testing nested or non-nested hypotheses, Journal of Econometrics, 21, 1, p. 83-115. http://dx.doi.org/10.1016/0304-4076(83)90121-5
TypeArticle accepté pour publication ou publié
Journal nameJournal of Econometrics
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Abstract (EN)This paper presents a test procedure for nested or non-nested hypotheses. The test statistic is based on the difference between two estimators of the pseudo-true value as defined for instance by Sawa. This statistic is similar to the usual Wald statistic in the case of nested hypotheses and it can be replaced by an asymptotically equivalent one deduced from the score function.
Subjects / Keywordshypotheses; test statistic
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