Article

Model Equivalence Tests in a Parametric Framework

Pascal Lavergne

Résumé

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.

Codes JEL

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

Remplace

Pascal Lavergne, « Model Equivalence Tests in a Parametric Framework », TSE Working Paper, n° 13-379, février 2013.

Référence

Pascal Lavergne, « Model Equivalence Tests in a Parametric Framework », Journal of Econometrics, vol. 178, n° 3, janvier 2014, p. 414–425.

Publié dans

Journal of Econometrics, vol. 178, n° 3, janvier 2014, p. 414–425