INSTRUMENTAL MODELS AND INDIRECT ENCOMPASSING

Authors
DHAENE G GOURIEROUX C SCAILLET O
Citation
G. Dhaene et al., INSTRUMENTAL MODELS AND INDIRECT ENCOMPASSING, Econometrica, 66(3), 1998, pp. 673-688
Citations number
15
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods","Statistic & Probability","Statistic & Probability","Mathematics, Miscellaneous
Journal title
Econometrica → ACNP
ISSN journal
00129682
Volume
66
Issue
3
Year of publication
1998
Pages
673 - 688
Database
ISI
SICI code
0012-9682(1998)66:3<673:IMAIE>2.0.ZU;2-V
Abstract
We introduce nonnested hypotheses tests using indirect, simulation-bas ed estimation procedures. We propose different test statistics and car efully examine the corresponding implicit mi hypotheses. A notion of i ndirect encompassing comes up naturally, which may be compared to the usual encompassing conditions. Then we show how these methods extend s tandard specification and overidentification tests.