Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation

In This Paper We Present a Test for Discriminating Between Two Non-Nested Sets of Euler Conditions Which Have Been Estimated Using Gmm. the Test Is Based on the Encompassing Principle of Mizon and Richard (1986), and Uses Tauchen's (1986) Quadrature-Based Methods for Approximating the Expectation of Nonlinear Functions of Stationary Random Variables. the Test Is Compared to the Procedure Suggested by Singleton (1986).

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Year of publication:	1987
Authors:	Ghysels, E. ; Hall, A.
Institutions:	Département de Sciences Économiques, Université de Montréal
Subject:	Linear Models \| Exctations

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	30 pages long. pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005353364