Model equivalence tests in a parametric framework

Pascal Lavergne

Journal of Econometrics, 2014, vol. 178, issue P3, 414-425

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.

Keywords: Hypothesis testing; Parametric methods (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p3:p:414-425

DOI: 10.1016/j.jeconom.2013.05.007

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