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Encompassing Tests When No Model Is Encompassing / Kenneth D. West.
- Format:
- Book
- Author/Creator:
- West, Kenneth D.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0256.
- NBER technical working paper series no. t0256
- Language:
- English
- Subjects (All):
- Econometric models--Evaluation.
- Econometric models.
- Science--Study and teaching (Higher).
- Science.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2000.
- Cambridge, Massachusetts : National Bureau of Economic Research, 2000.
- Summary:
- This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive asymptotic distributions and propose feasible procedures to construct confidence intervals and test statistics. Procedures that are asymptotically valid under the null of encompassing (e.g., Davidson and MacKinnon (1981)) can have large asymptotic and finite sample distortions. Simulations indicate that the proposed procedures can work well in samples of size typically available, though the divergence between actual and nominal confidence interval coverage sometimes is large.
- Notes:
- Print version record
- June 2000.
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