Reference

Pascal Lavergne, Model Equivalence Tests in a Parametric Framework, Journal of Econometrics, vol. 178, n. 3, January 2014, pp. 414–425.

Abstract

In empirical research, one commonly aims to obtain evidence in favor of re- strictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoret- ical 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.

JEL codes

  • C12: Hypothesis Testing: General
  • C52: Model Evaluation, Validation, and Selection
  • Replaces

    Pascal Lavergne, Model Equivalence Tests in a Parametric Framework, TSE Working Paper, n. 379, February 2013.