Model Equivalence Tests in a Parametric Framework

Abstract

In empirical research, one commonly aims to obtain evidence in favor of re- strictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoret- ical framework based on the Kullback-Leibler information to assess the approximate validity of multivariate restrictions in parametric models. I construct tests that are locally asymptotically maximin and locally asymptotically uniformly most powerful invariant. The tests are applied to three different empirical problems.

JEL codes

Replaced by

Pascal Lavergne, “Model Equivalence Tests in a Parametric Framework”, Journal of Econometrics, vol. 178, n. 3, January 2014, pp. 414–425.

Reference

Pascal Lavergne, “Model Equivalence Tests in a Parametric Framework”, TSE Working Paper, n. 13-379, February 2013.