Non-Nested Testing in Models Estimated via Generalized Method of Moments
Alastair R. Hall and Denis Pelletier · 2010
We analyze the limiting distribution of Rivers and Vuong?s (2002) statistic for choosing between two competing dynamic models based on a comparison of GMM minimands. It is shown that: (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis ofequal 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.