@techreport{09b0dc88dfff4251b2650ea104474774,
title = "Non-Nested Testing in Models Estimated via Generalized Method of Moments",
abstract = "We analyze the limiting distribution of Rivers and Vuong{\textquoteright}s (2002) statistic for choosing between two competing dynamic models based on a comparison of GMM minimands. It is shown that: (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis ofequal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if both models are correctly specified or locally misspecified then the limiting distribution of the test statistic is nonstandard under the null.",
keywords = "Generalized Method of Moments, Non-nested Hypothesis Testing, Model Selection",
author = "Hall, {Alastair R.} and Denis Pelletier",
year = "2010",
language = "English",
series = "Economics, University of Manchester mimeo",
type = "WorkingPaper",
}