Model Equivalence Tests in a Parametric Framework

Pascal Lavergne

No 13-379, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: 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.

JEL-codes: C12 C52 (search for similar items in EconPapers)
Date: 2013-02
New Economics Papers: this item is included in nep-ecm
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Journal Article: Model equivalence tests in a parametric framework (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:26789

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