Parametric and Non-Parametric Encompassing Procedures

30 Pages Posted: 2 Dec 2008

Date Written: 0000

Abstract

We study the asymptotic behaviour of encompassing statistics in general regression models. The theory for testing one parametric model against another parametric model is now well known, but the comparison of two non-parametric models, or 'crossed' situations where a parametric model is tested against a non-parametric one, has not been treated previously. The encompassing test statistics for the four cases presented here are based on an appropriately normalized difference between an estimator of M_2 parameters (eventually functional), and its pseudo-true value under M_1. The specification tests for non-parametrically estimated models have meaning only when the smoothing parameter is not arbitrarily chosen, and so the window widths are calculated by an automatic empirical method (cross-validation). As the window width determination is part of the estimation procedure, the pseudo-true window width, associated with the pseudo-true value, is defined.

Suggested Citation

Bontemps, Christophe and Florens, Jean-Pierre and Richard, Jean-François, Parametric and Non-Parametric Encompassing Procedures (0000). Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 751-780, December 2008. Available at SSRN: https://ssrn.com/abstract=1307311 or http://dx.doi.org/10.1111/j.1468-0084.2008.00529.x

Christophe Bontemps (Contact Author)

ESR-INRA ( email )

Chemin de Borde-Rouge
Auzeville B.P. 27
Castanet-Tolosan Cedex, 31326
France

Jean-Pierre Florens

University of Toulouse ( email )

Manufacture des Tabacs
21 Allees de Brienne IDEI
31000 Toulouse
France
+33(0)5 61 12 85 96 (Phone)
+33(0)5 61 12 86 37 (Fax)

Jean-François Richard

affiliation not provided to SSRN

No Address Available

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