Model Equivalence Tests in a Parametric Framework

Lavergne, Pascal (2013) Model Equivalence Tests in a Parametric Framework. TSE Working Paper, n. 13-379, Toulouse

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Official URL: http://tse-fr.eu/pub/26789

Abstract

In empirical research, one commonly aims to obtain evidence in favor of re-
strictions on parameters, appearing as an economic hypothesis, a consequence of
economic theory, or an econometric modeling assumption. I propose a new theoret-
ical framework based on the Kullback-Leibler information to assess the approximate
validity of multivariate restrictions in parametric models. I construct tests that are
locally asymptotically maximin and locally asymptotically uniformly most powerful
invariant. The tests are applied to three different empirical problems.

Item Type: Monograph (Working Paper)
Language: English
Date: February 2013
Place of Publication: Toulouse
JEL codes: C12 - Hypothesis Testing
C52 - Model Evaluation and Selection
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 09 Jul 2014 17:33
Last Modified: 20 Mar 2018 14:25
OAI ID: oai:tse-fr.eu:26789
URI: http://publications.ut-capitole.fr/id/eprint/15512

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