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In this context we propose various test procedures of the encompassing hypothesis. Some of these procedures are based on simulations, and some of them are linked with the notion of indirect estimation (in particular, the GET and simulated GET procedures). As a by-product, we get an asymptotic theory of the tests of non-nested hypotheses in the stationary dynamic case.<\/jats:p>","DOI":"10.1017\/s0266466600009142","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:41:32Z","timestamp":1236699692000},"page":"195-228","source":"Crossref","is-referenced-by-count":39,"title":["Testing, Encompassing, and Simulating Dynamic Econometric Models"],"prefix":"10.1017","volume":"11","author":[{"given":"Christian","family":"Gouri\u00e9roux","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alain","family":"Monfort","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600009142_ref030","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90003-C"},{"key":"S0266466600009142_ref024","volume-title":"Posterior Odds Testing for a Unit Root with Data-Based Model Selection","author":"Phillips","year":"1992"},{"key":"S0266466600009142_ref014","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90101-4"},{"key":"S0266466600009142_ref004","doi-asserted-by":"publisher","DOI":"10.2307\/1911522"},{"key":"S0266466600009142_ref018","volume-title":"Econometrics and Qualitative Modelling","author":"Mizon","year":"1984"},{"key":"S0266466600009142_ref019","doi-asserted-by":"publisher","DOI":"10.2307\/1911313"},{"key":"S0266466600009142_ref025","unstructured":"Smith A.A. 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