Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation

Eric Ghysels () and Alastair Hall

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: In This Paper We Present a Test for Discriminating Between Two Non-Nested Sets of Euler Conditions Which Have Been Estimated Using Gmm. the Test Is Based on the Encompassing Principle of Mizon and Richard (1986), and Uses Tauchen's (1986) Quadrature-Based Methods for Approximating the Expectation of Nonlinear Functions of Stationary Random Variables. the Test Is Compared to the Procedure Suggested by Singleton (1986).

Keywords: Linear Models; Exctations (search for similar items in EconPapers)
Pages: 30P. pages
Date: 1987
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Journal Article: Testing nonnested Euler conditions with quadrature-based methods of approximation (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:8703

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