Tom
Yes, indeed, most of these tests have some fragility or another. The Rivers-Voung test is just one possible candidate among the class.
If anyone has any advice or code for GMM non-nested coding, I’d still certainly be interested to hear about it. Thanks a lot.
Regards.
Search found 2 matches
- Thu Dec 17, 2009 9:51 am
- Forum: Other Time Series Analysis
- Topic: GMM non-nested tests.
- Replies: 3
- Views: 6739
- Fri Dec 04, 2009 3:11 am
- Forum: Other Time Series Analysis
- Topic: GMM non-nested tests.
- Replies: 3
- Views: 6739
GMM non-nested tests.
I'm trying to test 2 New keynesian Phillips curves. Both equations have the same dynamics but have different driving variables and both are estimated by GMM. For the purposes of comparing and discriminating between these two specifications, I wondered therefore if anyone has any code to perform non-...