| Joaquim J. S. Ramalho, University of Bristol Richard J. Smith, University of Bristol |
| Generalized Empirical Likelihood Non-Nested Tests |
| Session: C-11-15 Tuesday 15 August 2000 by Ramalho, Joaquim J. S. |
| This paper examines non-nested tests for competing moment conditions using a semi-parametric generalized empirical likelihood framework. By associating an additional parameter for each of the moment conditions, the generalized empirical likelihood method embeds sample versions of the moment conditions used in generalized method of moments (GMM) estimation in a non-parametric likelihood-type function. The resulting estimators from optimising the generalized empirical likelihood criteria are first order asymptotically equivalent to those based on GMM. Cox-type, moment encompassing and parametric encompassing non-nested tests for competing moment condition models are proposed. A simulation experiment is conducted to examine the efficacy of the proposed statistics in terms of their size and power properties and to compare their properties with those of corresponding non-nested test statistics based on GMM estimation. |