{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,19]],"date-time":"2026-10-19T01:16:16Z","timestamp":1792372576233,"version":"4.4.0"},"reference-count":14,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2010,9,13]],"date-time":"2010-09-13T00:00:00Z","timestamp":1284336000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2011,4]]},"abstract":"<jats:p>We analyze the limiting distribution of the Rivers and Vuong (2002, <jats:italic>Econometrics Journal<\/jats:italic> 5, 1\u201339) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if both models are correctly specified or locally misspecified then the limiting distribution of the test statistic is nonstandard under the null.<\/jats:p>","DOI":"10.1017\/s0266466610000344","type":"journal-article","created":{"date-parts":[[2010,9,13]],"date-time":"2010-09-13T08:15:14Z","timestamp":1284365714000},"page":"443-456","source":"Crossref","is-referenced-by-count":28,"title":["NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS"],"prefix":"10.1017","volume":"27","author":[{"given":"Alastair R.","family":"Hall","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Denis","family":"Pelletier","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,9,13]]},"reference":[{"key":"S0266466610000344_ref14","doi-asserted-by":"publisher","DOI":"10.2307\/1912557"},{"key":"S0266466610000344_ref13","doi-asserted-by":"publisher","DOI":"10.1111\/j.0013-0133.1997.174.x"},{"key":"S0266466610000344_ref12","unstructured":"Shi X. (2010) Model Selection Tests for Nonnested Moment Inequality Models. Mimeo, Yale University."},{"key":"S0266466610000344_ref10","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176346253"},{"key":"S0266466610000344_ref9","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(85)90154-X"},{"key":"S0266466610000344_ref8","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.2008.00534.x"},{"key":"S0266466610000344_ref7","unstructured":"Kitamura Y. (2002) A Likelihood-Based Approach to the Analysis of a Class of Nested and Non-nested Models. Discussion paper, Department of Economics, University of Pennsylvania."},{"key":"S0266466610000344_ref6","unstructured":"Kitamura Y. (2000) Comparing Misspecified Dynamic Econometric Models Using Nonparametric Likelihood. Mimeo, University of Pennsylvania."},{"key":"S0266466610000344_ref4","unstructured":"Hall A.R. & Pelletier D. (2007) Non-Nested Testing in Models Estimated via Generalized Method of Moments. Economics Working Paper 11, Department of Economics, North Carolina State University."},{"key":"S0266466610000344_ref2","volume-title":"Generalized Method of Moments","author":"Hall","year":"2005"},{"key":"S0266466610000344_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.t01-1-00071"},{"key":"S0266466610000344_ref5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb04813.x"},{"key":"S0266466610000344_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.11.003"},{"key":"S0266466610000344_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00089-7"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466610000344","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,27]],"date-time":"2019-04-27T19:04:48Z","timestamp":1556391888000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466610000344\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,9,13]]},"references-count":14,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2011,4]]}},"alternative-id":["S0266466610000344"],"URL":"https:\/\/doi.org\/10.1017\/s0266466610000344","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,9,13]]}}}