Model equivalence tests in a parametric framework

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 178
Issue: P3
Pages: 414-425

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In empirical research, one commonly aims to obtain evidence in favor of restrictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoretical framework based on the Kullback–Leibler information to assess the approximate validity of multivariate restrictions in parametric models. I construct tests that are locally asymptotically maximin and locally asymptotically uniformly most powerful invariant. The tests are applied to three different empirical problems.

Technical Details

RePEc Handle
repec:eee:econom:v:178:y:2014:i:p3:p:414-425
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25