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