Lu, Maozu; Mizon, Grayham E. - In: Econometric Theory 12 (1996) 05, pp. 845-858
The exponentially tilted family of densities is used to discuss the relationship between the encompassing principle and the <italic>M</italic>-test or conditional moment testing principle. It is shown that the two principles are capable of generating the same test statistics and in this sense equivalent....