Discrepancy Risk Model Selection Test theory for comparing possibly misspecified or nonnested models

@article{Golden2003DiscrepancyRM,
  title={Discrepancy Risk Model Selection Test theory for comparing possibly misspecified or nonnested models},
  author={Richard M. Golden},
  journal={Psychometrika},
  year={2003},
  volume={68},
  pages={229-249}
}
A new model selection statistical test is proposed for testing the null hypothesis that two probability models equally effectively fit the underlying data generating process (DGP). The new model selection test, called the Discrepancy Risk Model Selection Test (DRMST), extends previous work (see Vuong, 1989) on this problem in four distinct ways. First, generalized goodness-of-fit measures (which include log-likelihood functions) can be used. Second, unlike the classical likelihood ratio test… CONTINUE READING

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