centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

A simple parametric model selection test

Authors: Susanne M. Schennach and Daniel Wilhelm
Date: 02 August 2016
Type: cemmap Working Paper, CWP30/16
DOI: 10.1920/wp.cem.2016.3016

Abstract

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 speci ed or misspeci ed, 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.

Download full version
Previous version:
Susanne M. Schennach and Daniel Wilhelm March 2014, A simple parametric model selection test, cemmap Working Paper, CWP10/14, The IFS

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us