【主讲】Xiaoxia Shi (University of Wisconsin-Madison)
【主题】A Uniform Vuong Test for Semi/Nonparametric Models
【时间】2016年1月9日 (周六) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】This paper proposes a new Vuong test for the statistical comparison of semi/non-parametricmodels based on a general quasi-likelihood ratio criterion. An important feature of the new testis its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easiernested and strictly nonnested cases. The uniform size control is achieved without using pretesting,sample-splitting, or simulated critical values. A uniformly valid post Vuong test inferenceprocedure of model parameters is also provided. The finite sample performance of the uniformtest and the post Vuong test inference procedure is investigated in a mean-regression example.
