Title: Instrumental models and indirect encompassing
Authors: Dhaene, Geert ×
Gouriéroux, Christian
Scaillet, Okivier #
Issue Date: May-1998
Publisher: Blackwell publ ltd
Series Title: Econometrica vol:66 issue:3 pages:673-688
Abstract: We introduce nonnested hypotheses tests using indirect, simulation-based estimation procedures. We propose different test statistics and carefully examine the corresponding implicit mi hypotheses. A notion of indirect encompassing comes up naturally, which may be compared to the usual encompassing conditions. Then we show how these methods extend standard specification and overidentification tests.
ISSN: 0012-9682
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of Econometrics, Leuven
× corresponding author
# (joint) last author

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