A model selection procedure based on a general criterion function, with an example of the Kullback-Leibler Information Criterion (KLIC) using quasi-likelihood functions, is considered for dynamic non-nested models. We propose a robust test which generalizes Lien and Vuong's (1987) test with a...

We propose an improved model selection test for dynamic models based on the method of Rivers and Vuong (2002) using a new asymptotic approximation to the sampling distribution of a new test statistic. The model selection test is applicable to dynamic models with very general selection criteria...