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Lavergne, Pascal
(2014)
Model Equivalence Tests in a Parametric Framework.
Journal of Econometrics, vol. 178 (n° 3).
pp. 414-425.
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Abstract
In empirical research, one commonly aims to obtain evidence in favor of restrictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoretical 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: | Article |
|---|---|
| Language: | English |
| Date: | January 2014 |
| Refereed: | Yes |
| JEL Classification: | C12 - Hypothesis Testing C52 - Model Evaluation and Selection |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 09 Jul 2014 17:40 |
| Last Modified: | 02 Apr 2021 15:48 |
| OAI Identifier: | oai:tse-fr.eu:27763 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15779 |
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Model Equivalence Tests in a Parametric Framework. (deposited 09 Jul 2014 17:33)
- Model Equivalence Tests in a Parametric Framework. (deposited 09 Jul 2014 17:40) [Currently Displayed]
