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Instrumental Models and Indirect Encompassing
Geert Dhaene, Christian Gourieroux and Oliver Scaillet
Vol. 66, No. 3 (May, 1998), pp. 673-688
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/2998579
Page Count: 16
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We introduce nonnested hypotheses tests using indirect, simulation-based estimation procedures. We propose different test statistics and carefully examine the corresponding implicit null hypotheses. A notion of indirect encompassing comes up naturally, which may be compared to the usual encompassing conditions. Then we show how these methods extend standard specification and overidentification tests.
Econometrica © 1998 The Econometric Society