Corrigendum to 'The pseudo-true score encompassing test for non-nested hypotheses' [Journal of Econometrics 106, 271-295]

摘要

Chen and Kuan (2002), hereafter CK, derived the pseudo-true score encompassing (PSE) test for non-nested models. While the basic idea of this test works and the examples of the pseudo-true score estimator presented in Section 3 of CK remain valid, wemade mistakes on the asymptotic variance-covariance matrix of the pseudo-true score estimator. These errors are corrected in this note.