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.
MLA
Gourieroux, Christian, et al. “Instrumental Models and Indirect Encompassing.” Econometrica, vol. 66, .no 3, Econometric Society, 1998, pp. 673-688, https://www.jstor.org/stable/2998579
Chicago
Gourieroux, Christian, Geert Dhaene, and Oliver Scaillet. “Instrumental Models and Indirect Encompassing.” Econometrica, 66, .no 3, (Econometric Society: 1998), 673-688. https://www.jstor.org/stable/2998579
APA
Gourieroux, C., Dhaene, G., & Scaillet, O. (1998). Instrumental Models and Indirect Encompassing. Econometrica, 66(3), 673-688. https://www.jstor.org/stable/2998579
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