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Nonnested model comparisons for time series
Nonnested model comparisons for time series
Abstract
This paper addresses the topic of nonnested time series model comparisons. The main result is a central limit theorem for the likelihood ratio statistic when the models are nonnested and nonequivalent. The concepts of model equivalence and forecast equivalence, which are important for determining the parameter subset corresponding to the null hypothesis, are developed. The method is validated through a simulation study and illustrated on a retail time series.
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Page Last Revised - October 8, 2021
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