Econometrica: Jul 1992, Volume 60, Issue 4
Notes and Comments: Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
Richard J. SmithNon-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with heteroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented.
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