Econometrica: Jul 1992, Volume 60, Issue 4
Notes and Comments: Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
https://doi.org/0012-9682(199207)60:4<973:NTFCME>2.0.CO;2-Q
p.
973-980
Richard J. Smith
Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with heteroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented.Log In To View Full Content