English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Generalized empirical likelihood non-nested tests
Título Revista
Journal of Econometrics
Ano (publicação definitiva)
2002
Língua
Inglês
País
Suíça
Mais Informação
Web of Science®
Scopus
Google Scholar
Abstract/Resumo
This paper examines non-nested tests for competing moment condition models using a semi-parametric generalized empirical likelihood (GEL) framework. The resultant GEL estimators are first order asymptotically equivalent to those based on generalized method of moments (GMM). Cox-type, moment encompassing and parametric encompassing non-nested tests for competing moment condition models are proposed. Simulation experiments are conducted to examine the efficacy of the proposed GEL statistics in terms of their size and power properties and to compare their properties with those of corresponding non-nested test statistics based on GMM estimation.
Agradecimentos/Acknowledgements
--
Palavras-chave
Empirical likelihood,GMM,Cox-type tests,Moment encompassing tests,Parametric encompassing tests
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
- Economia e Gestão - Ciências Sociais
- Sociologia - Ciências Sociais
