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Some Non-Nested Hypothesis Tests and the Relations among Them

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  • Davidson, Russell
  • MacKinnon, James G

Abstract

This paper discusses several statistical techniques which can be used to test the validity of a possibly nonlinear and multivariate regression model, using the information provided by estimating one or more alternative models on the same set of data. The techniques we propose can be regarded as alternative implementations of Cox's idea for non-nested hypothesis testing; under the null hypothesis, all of the test statistics are asymptotically the same random variable. For the univariate linear regression case, our test and Pesaran's has asymptotic relative efficiency of unity for local alternatives. Finally, we present sampling experiments for univariate linear models which show that the small-sample performance of our J test and Pesaran's test can be quite different.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 49 (1982)
Issue (Month): 4 (October)
Pages: 551-65

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Handle: RePEc:bla:restud:v:49:y:1982:i:4:p:551-65

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Cited by:
  1. Viviana Fernandez, 2006. "Specification tests for a parsimonious random-effects model," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 1009-1012.
  2. Nicholas Apergis & John Sorros, 2010. "Disaggregated Earnings and Stock Prices: Evidence from International Listed Shipping Firms," International Advances in Economic Research, Springer, vol. 16(3), pages 269-281, August.
  3. Ghali, Moheb, 2007. "Comparison of two empirical cost functions," International Journal of Production Economics, Elsevier, vol. 108(1-2), pages 15-21, July.
  4. Bernard FINGLETON & Silvia PALOMBI, 2013. "The Wage Curve Reconsidered: Is It Truly An 'Empirical Law Of Economics'?," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 38, pages 49-92.
  5. Peijie Wang & Trefor Jones, 2010. "A Spectral Analysis of Business Cycle Patterns in UK Sectoral Output," Papers 1001.4762, arXiv.org.
  6. Jean-Paul Azam & Véronique Thelen, 2008. "The roles of foreign aid and education in the war on terror," Public Choice, Springer, vol. 135(3), pages 375-397, June.
  7. Eric J. Brunner & Stephen L. Ross, 2009. "Is the Median Voter Decisive? Evidence of 'Ends Against the Middle' From Referenda Voting Patterns," Working papers 2009-02, University of Connecticut, Department of Economics, revised May 2010.
  8. Brunner, Eric J. & Ross, Stephen L., 2010. "Is the median voter decisive? Evidence from referenda voting patterns," Journal of Public Economics, Elsevier, vol. 94(11-12), pages 898-910, December.
  9. Magdalena Osińska & Aleksandra Matuszewska, 2006. "Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate," International Advances in Economic Research, Springer, vol. 12(3), pages 327-341, August.
  10. Davidson, Russell & MacKinnon, James G., 2002. "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, Elsevier, vol. 109(1), pages 167-193, July.
  11. Han, Xiaoyi & Lee, Lung-fei, 2013. "Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 250-271.
  12. M.A.Hossain, 2001. "On Export-Led Growth: Is Manufacturing Exports a New Engine of Growth for Bangladesh?," Discussion Papers Series 297, School of Economics, University of Queensland, Australia.
  13. Rao, Surekha & Ghali, Moheb & Krieg, John, 2008. "On the J-test for nonnested hypotheses and Bayesian extension," MPRA Paper 14637, University Library of Munich, Germany.
  14. Prof. Neil D. Karunaratne, 1999. "Rival Macroeconomic Models And Australian Stylised Facts," Discussion Papers Series 261, School of Economics, University of Queensland, Australia.
  15. Apergis, Nicholas & Payne, James E., 2012. "Renewable and non-renewable energy consumption-growth nexus: Evidence from a panel error correction model," Energy Economics, Elsevier, vol. 34(3), pages 733-738.
  16. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
  17. Pons Novell, Jordi, 1997. "Selección de modelos no anidados. Un estudio de Monte Carlo," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 7, pages 131-139, Junio.

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