Arbeitspapier

A simple parametric model selection test

We propose a simple model selection test for choosing among two parametric likelihoods which can be applied in the most general setting without any assumptions on the relation between the candidate models and the true distribution. That is, both, one or neither is allowed to be correctly specified or misspecified, they may be nested, non-nested, strictly non-nested or overlapping. Unlike in previous testing approaches, no pre-testing is needed, since in each case, the same test statistic together with a standard normal critical value can be used. The new procedure controls asymptotic size uniformly over a large class of data generating processes. We demonstrate its finite sample properties in a Monte Carlo experiment and its practical relevance in an empirical application comparing Keynesian versus new classical macroeconomic models.

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP30/16

Klassifikation
Wirtschaft
Thema
uniform size control
one-step test
sample-splitting
Vuong test

Ereignis
Geistige Schöpfung
(wer)
Schennach, Susanne M.
Wilhelm, Daniel
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2016

DOI
doi:10.1920/wp.cem.2016.3016
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Schennach, Susanne M.
  • Wilhelm, Daniel
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2016

Ähnliche Objekte (12)