Instrumental models and indirect encompassing

Econometrica

Volumn 66, Issue 3, 1998, Pages 673-688

  Dhaene, Geert ^a   Gourieroux, Christian ^a   Scaillet, Olivier ^a  

^a NONE

Author keywords

Indirect encompassing; Indirect inference; Instrumental model; Nonnested hypotheses; Overidentification test; Specification test

Indexed keywords

EID: 0010742736     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2998579     Document Type: Article

References (15)

1. DHAENE, G. (1997): Encompassing, Formulation, Properties and Testing, Lecture Notes in Economics and Mathematical Systems, No. 446. Berlin: Springer-Verlag.
2. DHAENE, G., C. GOURIÉROUX, AND O. SCAILLET (1996): "Non-Nested Hypotheses and Instrumental Models," CREST-DP 9605.
3. GALLANT, A. R., AND G. TAUCHEN (1996): "Which Moments to Match?" Econometric Theory, 12, 657-681.
4. GODFREY, J. (1988): Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches, Econometric Society Monograph. Cambridge: Cambridge University Press.
5. GOURIÉROUX, C., AND A. MONFORT (1994): "Testing Non-Nested Hypotheses," in Handbook of Econometrics, IV, ed. by R. Engle and D. McFadden. Amsterdam: Elsevier Science, North-Holland, 2583-2637.
6. _ (1995): "Testing, Encompassing and Simulating Dynamic Econometric Models," Econometric Theory, 11, 195-228.
7. _ (1997): Simulation Based Econometric Methods, CORE Lecture Series. Oxford: Oxford University Press.
8. GOURIÉROUX, C., A. MONFORT, AND E. RENAULT (1993): "Indirect Inference," Journal of Applied Econometrics, 8, S85-S118.
9. HAUSMAN, J. (1978): "Specification Tests in Econometrics," Econometrica, 46, 1251-1277.
10. HENDRY, D. F., AND J.-F. RICHARD (1990): "Recent Developments in the Theory of Encompassing," in Contributions to Operations Research and Econometrics, The Twentieth Anniversary of CORE, ed. by B. Cornet and H. Tulkens. Cambridge: MIT Press.
11. MIZON, G. E., AND J.-F. RICHARD (1986): "The Encompassing Principle and its Applications to Testing Non-nested Hypotheses," Econometrica, 54, 657-678.
12. PESARAN, H., AND B. PESARAN (1993): "A Simulation Approach to the Problem of Computing Cox's Statistic for Testing Non-nested Models," Journal of Econometrics, 57, 377-392.
13. SMITH, A. (1993): "Estimating Nonlinear Time Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, 8, S63-S84.
14. SMITH, R. (1994): "Consistent Tests of the Encompassing Hypothesis," CREST-DP 9403.
15. SZROETER, J. (1983): "Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions," Econometrica, 51, 335-348.