Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 6 (2015) 1, pp. 85-121
In this paper, I propose a one-step nondegenerate test as an alternative to the classical Vuong (1989) tests. I show that the new test achieves uniform asymptotic size control in both the overlapping and the non-overlapping cases, while the classical Vuong tests do not. Meanwhile, the power of...
