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Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation

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Author Info
Ghysels, E.
Hall, A.

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Abstract

In This Paper We Present a Test for Discriminating Between Two Non-Nested Sets of Euler Conditions Which Have Been Estimated Using Gmm. the Test Is Based on the Encompassing Principle of Mizon and Richard (1986), and Uses Tauchen's (1986) Quadrature-Based Methods for Approximating the Expectation of Nonlinear Functions of Stationary Random Variables. the Test Is Compared to the Procedure Suggested by Singleton (1986).

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Publisher Info
Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8703.

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Length: 30P. pages
Date of creation: 1987
Date of revision:
Handle: RePEc:mtl:montde:8703

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Related research
Keywords: Linear Models ; Exctations;

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  1. Alastair R. Hall & Denis Pelletier, 2007. "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series 011, North Carolina State University, Department of Economics, revised Mar 2007. [Downloadable!]
  2. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation, Yale University. [Downloadable!]
Statistics
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