 Parametric and Non‐parametric Encompassing Procedures*Christophe Bontemps, Jean‐Pierre Florens and Jean-Francois Richard Oxford Bulletin of Economics and Statistics, 2008, vol. 70, issue s1, 751-780 Abstract: We study the asymptotic behaviour of encompassing statistics in general regression models. The theory for testing one parametric model against another parametric model is now well known, but the comparison of two non‐parametric models, or ‘crossed’ situations where a parametric model is tested against a non‐parametric one, has not been treated previously. The encompassing test statistics for the four cases presented here are based on an appropriately normalized difference between an estimator of parameters (eventually functional), and its pseudo‐true value under . The specification tests for non‐parametrically estimated models have meaning only when the smoothing parameter is not arbitrarily chosen, and so the window widths are calculated by an automatic empirical method (cross‐validation). As the window width determination is part of the estimation procedure, the pseudo‐true window width, associated with the pseudo‐true value, is defined. Date: 2008 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:70:y:2008:i:s1:p:751-780 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC. |
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