메뉴 건너뛰기




Volumn 27, Issue 2, 2011, Pages 443-456

Nonnested testing in models estimated via generalized method of moments

Author keywords

[No Author keywords available]

Indexed keywords


EID: 79957494835     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466610000344     Document Type: Article
Times cited : (21)

References (14)
  • 1
    • 33845508213 scopus 로고    scopus 로고
    • Indirect inference and calibration of dynamic stochastic general equilibrium models
    • DOI 10.1016/j.jeconom.2005.11.003, PII S0304407605002198, The Interface Between Econometrics and Economic Theory
    • Dridi, R., A., Guay, & E. Renault (2007) Indirect inference and calibration of dynamic general equilibrium models. Journal of Econometrics 136, 397-430. (Pubitemid 44911066)
    • (2007) Journal of Econometrics , vol.136 , Issue.2 , pp. 397-430
    • Dridi, R.1    Guay, A.2    Renault, E.3
  • 3
    • 0242566070 scopus 로고    scopus 로고
    • The large sample behaviour of the generalized method of moments estimator in misspecified models
    • Hall, A. R. & A. Inoue (2003) The large sample behaviour of the generalized method of moments estimator in misspecified models. Journal of Econometrics 114, 361-394.
    • (2003) Journal of Econometrics , vol.114 , pp. 361-394
    • Hall, A.R.1    Inoue, A.2
  • 5
    • 0010274340 scopus 로고    scopus 로고
    • Assessing specification errors in stochastic discount factor models
    • Hansen, L. P. & R. Jagannathan (1997) Assessing specification errors in stochastic discount factor models. Journal of Finance 52, 557-590.
    • (1997) Journal of Finance , vol.52 , pp. 557-590
    • Hansen, L.P.1    Jagannathan, R.2
  • 8
    • 57049106861 scopus 로고    scopus 로고
    • Model selection for nested and overlapping nonlinear dynamic and possibly mis-specified models
    • Marcellino, M. & B. Rossi (2008) Model selection for nested and overlapping nonlinear dynamic and possibly mis-specified models. Oxford Bulletin of Economics and Statistics 70, 867-893.
    • (2008) Oxford Bulletin of Economics and Statistics , vol.70 , pp. 867-893
    • Marcellino, M.1    Rossi, B.2
  • 9
    • 0001624955 scopus 로고
    • Generalized method of moments specification testing
    • Newey, W. K. (1985) Generalized method of moments specification testing. Journal of Econometrics 29, 229-256.
    • (1985) Journal of Econometrics , vol.29 , pp. 229-256
    • Newey, W.K.1
  • 10
    • 0001024723 scopus 로고
    • Order estimation in ARMA models by Lagrangian multiplier tests
    • Potscher, B. M. (1983) Order estimation in ARMA models by Lagrangian multiplier tests. Annals of Statistics 11, 872-885.
    • (1983) Annals of Statistics , vol.11 , pp. 872-885
    • Potscher, B.M.1
  • 11
    • 0041982330 scopus 로고    scopus 로고
    • Model selection tests for nonlinear dynamic models
    • Rivers, D. & Q. Vuong (2002) Model selection tests for nonlinear dynamic models. Econometrics Journal 5, 1-39.
    • (2002) Econometrics Journal , vol.5 , pp. 1-39
    • Rivers, D.1    Vuong, Q.2
  • 13
    • 0000428175 scopus 로고    scopus 로고
    • Alternative semi-parametric likelihood approaches to generalised method of moments estimation
    • Smith, R. J. (1997) Alternative semi-parametric likelihood approaches to generalized method of moments estimation. Economics Journal 107, 503-519. (Pubitemid 127688395)
    • (1997) Economic Journal , vol.107 , Issue.441 , pp. 503-519
    • Smith, R.J.1
  • 14
    • 0000646447 scopus 로고
    • Likelihood ratio tests for model selection and non-nested hypotheses
    • Vuong, Q. (1989) Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57, 307-334.
    • (1989) Econometrica , vol.57 , pp. 307-334
    • Vuong, Q.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.