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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 Classification: | 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: | 02 Apr 2021 15:47 |
| OAI Identifier: | oai:tse-fr.eu:26789 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15512 |
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