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A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models
Quantitative Economics ( IF 2.190 ) Pub Date : 2020-07-17 , DOI: 10.3982/qe1312
Zhipeng Liao 1 , Xiaoxia Shi 2
Affiliation  

This paper proposes a new model selection test for the statistical comparison of semi/non‐parametric models based on a general quasi‐likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier nested and strictly nonnested cases. The uniform size control is achieved without using pretesting, sample‐splitting, or simulated critical values. We also show that the test has nontrivial power against all urn:x-wiley:17597323:media:quan200094:quan200094-math-0001‐local alternatives and against some local alternatives that converge to the null faster than urn:x-wiley:17597323:media:quan200094:quan200094-math-0002. Finally, we provide a framework for conducting uniformly valid post model selection inference for model parameters. The finite sample performance of the nondegenerate test and that of the post model selection inference procedure are illustrated in a mean‐regression example by Monte Carlo.

中文翻译:

半/非参数模型的非退化Vuong检验和选择后置信区间

本文提出了一种新的模型选择检验,用于基于一般拟似然比准则的半参数/非参数模型的统计比较。新测试的一个重要特征是在重叠的非嵌套情况下以及在更容易嵌套和严格非嵌套的情况下,其一致精确的渐近大小。无需使用预测试,样本拆分或模拟临界值即可实现统一的尺寸控制。我们还表明,该测试对于所有ur:x-wiley:17597323:media:quan200094:quan200094-math-0001局部替代方案和某些收敛于零值比缸:x-wiley:17597323:media:quan200094:quan200094-math-0002。最后,我们提供了一个用于对模型参数进行统一有效的模型选择后推断的框架。蒙特卡洛(Monte Carlo)在均值回归示例中说明了非退化测试的有限样本性能和模型选择后推断程序的有限样本性能。
更新日期:2020-07-17
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