TESTING, ENCOMPASSING, AND SIMULATING DYNAMIC ECONOMETRIC-MODELS

被引：21

作者：

GOURIEROUX, C ^{[1
]}

MONFORT, A ^{[1
]}

机构：

[1] INSEE, CREST, PARIS, FRANCE

来源：

ECONOMETRIC THEORY | 1995年 / 11卷 / 02期

关键词：

D O I：

10.1017/S0266466600009142

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We define, in a dynamic framework, the notions of binding functions, images, reflecting sets, indirect identification, indirect information, and encompassing. We study the properties of the notion of encompassing when the true distribution does not necessarily belong to one of the two competing models of interest. In this context we propose various test procedures of the encompassing hypothesis. Some of these procedures are based on simulations, and some of them are linked with the notion of indirect estimation (in particular, the GET and simulated GET procedures). As a by-product, we get an asymptotic theory of the tests of non-nested hypotheses in the stationary dynamic case.

引用

页码：195 / 228

页数：34

共 30 条

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Hendry D. F., 1989, CONTRIBUTIONS OPERAT, P393

[12] ON THE FORMULATION OF EMPIRICAL-MODELS IN DYNAMIC ECONOMETRICS [J].