Encompassing in Stationary Linear Dynamic Models.
A model M[subscript 1] encompasses a rival model M [subscript 2] if M[subscript 1] can explain M[subscript 2]'s results. A Wald Encompassing Test (WET) checks if a statistic of interest to M[subscript 2] coincides with an estimator of its predicted value under M[subscript 1]. We propose techniq...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
1994
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