Hypothesis testing, specification testing and model selection based on the MCMC output using R

• Main Authors: LI, Yong, YU, Jun, ZENG, Tao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: AIC; DIC; Information matrix; LR test; LM test; Markov chain Monte Carlo; Latent variable; Wald test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2321; https://ink.library.smu.edu.sg/context/soe_research/article/3320/viewcontent/liyuzeng.pdf
• Institution: Singapore Management University

This chapter overviews several MCMC-based test statistics for hypothesis testing andspecification testing and MCMC-based model selection criteria developed in recentyears. The statistics for hypothesis testing can be viewed as the MCMC version ofthe “trinity” of test statistics based in maximum like...