Bayesian encompassing test under partial observability
Carlos Almeida Rodriguez, Michel Mouchart · 2005
Florens, Richard and Rolin (2003) proposed a specification test of a parametric hypothesis against a nonparametric one, in the framework of a Bayesian encompassing test. Building on that work we elaborate the procedure under a condition of partial observability. The general procedure is illustrated by the case where only the sign is observable, and more generally when the available data come from a binary reduction of a vector of latent variables. This example is also used to point out some difficulties when implementing the proposed procedure.