NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
分析了Rivers和Vuong提出的用于比较两个动态模型的统计量的极限分布，发现当两个模型都设定错误时统计量服从标准正态分布，但排序可能受权重矩阵影响；当模型正确设定或局部错误时，极限分布非标准。
We analyze the limiting distribution of the Rivers and Vuong (2002, Econometrics Journal 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal 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.