Liao, Zhipeng; Shi, Xiaoxia - In: Quantitative Economics 11 (2020) 3, pp. 983-1017
This paper proposes a new model selection test for the statistical comparison of semi/non‐parametric models based on a general quasi‐likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the...