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Testing, Encompassing, and SimulatingDynamic Econometric Models

Published online by Cambridge University Press:  11 February 2009

Christian Gouriéroux  and
Alain Monfort
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Abstract

We define, in a dynamic framework, the notions ofbinding functions, images, reflecting sets, indirectidentification, indirect information, andencompassing. We study the properties of the notionof encompassing when the true distribution does notnecessarily belong to one of the two competingmodels of interest. In this context we proposevarious test procedures of the encompassinghypothesis. Some of these procedures are based onsimulations, and some of them are linked with thenotion of indirect estimation (in particular, theGET and simulated GET procedures). As a by-product,we get an asymptotic theory of the tests ofnon-nested hypotheses in the stationary dynamiccase.

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Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 2 , February 1995 , pp. 195 - 228
Copyright
Copyright © Cambridge University Press 1995

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References

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