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NONNESTED TESTING IN MODELS ESTIMATED VIAGENERALIZED METHOD OF MOMENTS

Published online by Cambridge University Press:  13 September 2010

Alastair R. Hall and
Denis Pelletier
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Abstract

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We analyze the limiting distribution of the Rivers andVuong (2002, Econometrics Journal5, 1–39) statistic for choosing between twocompeting dynamic models based on a comparison ofgeneralized method of moments minimands. It is shownthat (i) if both models are misspecified then thestatistic has a standard normal distribution underthe null hypothesis of equal fit but the rankingcould be determined by the choice of the weightingmatrix; (ii) if both models are correctly specifiedor locally misspecified then the limitingdistribution of the test statistic is nonstandardunder the null.

Information

Type
Brief Report
Information
Econometric Theory , Volume 27 , Issue 2 , April 2011, pp. 443 - 456
Copyright
Copyright © Cambridge University Press 2010

Footnotes

We thank Atsushi Inoue, Eric Renault, QuangVuong, Ken West, a coeditor, and two anonymousreferees for helpful comments.

References

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