Selecting Estimated Models Using Chi-Square Statistics

Quang Vuong and Weiren Wang

Annals of Economics and Statistics, 1993, issue 30, 143-164

Abstract: This paper proposes some tests for choosing between two estimated models using some Pearson type statistics. We allow for arbitrary Vn-asymptotically normal estimators to be used in forming these statistics. This provides some flexibility in practice. Then Large Sample theory and bootstrap methods are used to construct our tests.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1993:i:30:p:143-164

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