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This paper generalizes Vuong (1989) asymptotically normal tests for model selection in several important directions. First, it allows for incompletely parametrized models such as econometric models defined by moment conditions. Second, it allows for a broad class of estimation methods that includes most estimators currently used in practice. Third, it considers model selection criteria other than the models" likelihoods such as the mean squared errors of prediction. Fourth,…

联立 Probit 模型的有限信息估计与外生性检验AI 解读

A two-step maximum likelihood procedure is proposed for estimating simultaneous probit models and is compared to alternative limited information estimators. Conditions under which each estimator attains the Cramer–Rao lower bound are obtained. Simple tests for exogeneity based on the new two-step estimator are proposed and are shown to be asymptotically equivalent to one another and to have the same local asymptotic power as classical tests based on the limited information…