Abstract
Florens, Richard and Rolin (2003) proposed a specification test of a parametric hypothesis against a nonparametric one, in the framework of a Bayesian encompassing test. Building on that work, this paper elaborates the procedure under a condition of partial observability. The general procedure is illustrated with the case where only the sign is observable, and more generally when the available data come from a binary reduction of a vector of latent variables. This example is also used to point out some difficulties when implementing the proposed procedure.
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Almeida, C., Mouchart, M. Bayesian Testing for Nested Hypotheses under Partial Observability. Sankhya A 76, 305–327 (2014). https://doi.org/10.1007/s13171-013-0048-6
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DOI: https://doi.org/10.1007/s13171-013-0048-6