Econometrica: May 1998, Volume 66, Issue 3
Instrumental Models and Indirect Encompassing
https://doi.org/0012-9682(199805)66:3<673:IMAIE>2.0.CO;2-R
p.
673-688
Christian Gourieroux, Geert Dhaene, Oliver Scaillet
We introduce nonnested hypotheses tests using indirect, simulation-based estimation procedures. We propose different test statistics and carefully examine the corresponding implicit null 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.Log In To View Full Content