Econometric Theory, Vol. 21, No. 1, ET 20th Anniversary Colloquium: Automated Inference and the Future of Econometrics (Feb., 2005), pp. 60-68 (9 pages) Standard econometric model selection methods ...

This paper generalizes Vuong (1989) asymptotically normal tests for model selection in several important directions. First, it allows for incompletely parametrized models such as econometric models ...