Congruence and encompassing
Bontemps, Christophe and Mizon, Grayham E. (2001) Congruence and encompassing. Southampton, UK, University of Southampton, 23pp. (University of Southampton, Discussion Papers in Economics and Econometrics, (0107) ).
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Description/Abstract
This paper considers the relationship between congruence and encompassing. Congruence is defined formally, and though it is not testable directly, it can be tested indirectly via tests of misspecification. Empirically more than one model can appear congruent, but that which encompasses its rivals is dominant, will encompass all models nested within it, and accurately predict the misspecifications of non-congruent models. These results are consistent with a general-to-specific modelling strategy being successful in practice. An empirical example illustrates these points.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Keywords: | data generation process, empirical model, general-to-specific modelling, encompassing, misspecification, specification |
| Subjects: | H Social Sciences > HA Statistics |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| Item ID: | 33101 |
| Date Deposited: | 18 May 2006 |
| Last Modified: | 28 Jun 2012 10:17 |
| Contributors: | Bontemps, Christophe (Author) Mizon, Grayham E. (Author) |
| Date: | 2001 |
| Status: | Unpublished |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/33101 |
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