Alternative procedures and associated tests of significance for non-nested hypotheses
AbstractThis paper attempts to synthesize various procedures for testing non-nested hypotheses within the framework of artificial nesting, and establishes the result that different tests correspond to different treatments of its identification problem. Numerical and a priori identification methods are distinguished. We derive two modified likelihood ratio tests that are asymptotically equivalent to the Cox-test and explain the relationship between them. The tests are consistent.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 16 (1981)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
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