Model selection tests for nonnested models

[pauloscalco]

Dear!
I'm estimating a nonlinear simultaneous equations system by GMM and must make a model selection test for non-nested model. Rivers and Vuong (2002), provide a simple test, which is compared the difference of the goodness-of-fit criteria (or lack-of-fit criteria) of the two competing models. The problem is that, I do not know how to calculate the variance of the difference of the criterion of the lack-of-fit criteria. Can anyone help me?

For more information, follow the link from the work of Rivers and Vuong (2002)
http://onlinelibrary.wiley.com/doi/10.1 ... -00071/pdf