THE ASYMPTOTIC LOCAL-STRUCTURE OF THE COX MODIFIED LIKELIHOOD-RATIO STATISTIC FOR TESTING NONNESTED HYPOTHESES

被引:2
作者
SZROETER, J
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D O I
10.1017/S0266466600013219
中图分类号
F [经济];
学科分类号
02 ;
摘要
It is shown that the Cox modified likelihood-ratio statistic for testing partially non-nested hypotheses H-0 and H-1 is asymptotically equivalent to a bilinear form in nondegenerate asymptotically normal random vectors for sequences of data-generating processes converging to the intersection of H-0 and H-1 but not necessarily belonging to either H-0 or H-1. One of the asymptotically normal vectors is the complete parametric encompassing vector of Mizon and Richard, while the other is a close relative. The results are valid regardless of whether or not the data-generating process is exponential and imply that the Cox statistic is not generally asymptotically locally normal. This corrects an assumption made in recent literature.
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页码:553 / 569
页数:17
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