Parsimonious Encompassing: An Application to Non-Nested Hypotheses and Hausman Specification Tests

Jean-Pierre Florens, David F. Hendry, Jean-Francois Richard
Université de Toulouse I et III, Nuffiled College, Oxford, Duke University

Aug 31 1987

A notion of parsimonious encompassing is analyzed within an information matrix framework. Hausman specification tests are reinterpreted within a class of Wald encompassing tests. Assumptions are discussed under which encompassing a non-nested alternative is equivalent to parsimoniously encompassing a minimal nesting model.


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