Autori: Lu, Maozu, Mizon, Grayham E.
Titolo: The encompassing principle and specification tests
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 11 - Pagina iniziale: 1 - Pagina finale: 15

The encompassing principle, as a generator of test statistics, is compared to the M—test or conditional moment testing principle. It is shown that the two principles are capable of generating the same test statistics, and in this sense equivalent. However, there are differences in motivation and emphasis underlying the principles which are in important in econometric modelling. The equivalence between encompassing and parsimonious encompassing for nonlinear models is also established for a class of completing models.




Testo completo: http://hdl.handle.net/1814/452

Esportazione dati in Refworks (solo per utenti abilitati)