The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
August 15, 2022
Econometrica: May, 1998, Volume 66, Issue 3
https://doi.org/0012-9682(199805)66:3<673:IMAIE>2.0.CO;2-R
p. 673-688
Christian Gourieroux, Geert Dhaene, Oliver Scaillet
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.
