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Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence

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Godfrey, L. G.
Pesaran, M. H.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 21 (1983)
Issue (Month): 1 (January)
Pages: 133-154
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Handle: RePEc:eee:econom:v:21:y:1983:i:1:p:133-154

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  1. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597. [Downloadable!]
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  2. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics. [Downloadable!]
  3. Hall, Harry H., 1998. "Choosing an Empirical Production Function: Theory, Nonnested Hypotheses, Costs of Specifications," Agricultural Economics Research Reports 31977, University of Kentucky, Department of Agricultural Economics. [Downloadable!]
  4. Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  5. Lyon, Charles C. & Thompson, Gary D., 1991. "Model Selection With Temporal And Spatial Aggregation: Alternative Marketing Margin Models," Staff Papers 13253, University of Minnesota, Department of Applied Economics. [Downloadable!]
  6. repec:att:wimass:19199936 is not listed on IDEAS
  7. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Taisuke Otsu, 2004. "Effect of small-sample adjustments for Cox test under non-nested linear regression models," Economics Bulletin, Economics Bulletin, vol. 3(28), pages 1-4. [Downloadable!]
  9. Neil R. Ericsson, 1986. "Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics," International Finance Discussion Papers 276, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  10. Rukmani Gounder & D. P. Doessel, 1997. "Motivation Models of Australia's Bilateral Aid Program: The Case of Indonesia," Bulletin of Indonesian Economic Studies, Taylor and Francis Journals, vol. 33(3), pages 97-110, December. [Downloadable!] (restricted)
  11. Doug Rolph, 1999. "Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy," Computing in Economics and Finance 1999 853, Society for Computational Economics. [Downloadable!]
  12. Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Russell Davidson & James G. MacKinnon, 1996. "The Size and Power of Bootstrap Tests," Working Papers 932, Queen's University, Department of Economics. [Downloadable!]
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  14. Charles W. Bischoff & Steven C. Hine, 1992. "A Test of Fischer's Theory of Monetary Misperceptions and the Business Cycle in the Presence of Long-Term Contracts," Eastern Economic Journal, Eastern Economic Association, vol. 18(1), pages 99-110, Winter. [Downloadable!]
  15. M. Hashem Pesaran, 1987. "A Rejoinder: On the Policy Ineffectiveness Proposition and a Keynesian Alternative," UCLA Economics Working Papers 470, UCLA Department of Economics. [Downloadable!]
  16. Maria Demertzis & Andrew Hallett, 1996. "Regional Inequalities and the Business Cycle: An Explanation of the Rise in European Unemployment," Regional Studies, Taylor and Francis Journals, vol. 30(1), pages 15-29, February. [Downloadable!] (restricted)
  17. Prof. Neil D. Karunaratne, 1999. "Rival Macroeconomic Models And Australian Stylised Facts," Discussion Papers Series 261, School of Economics, University of Queensland, Australia. [Downloadable!]
  18. 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. [Downloadable!] (restricted)
  19. James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Papers 573, Queen's University, Department of Economics. [Downloadable!]
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  20. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, EconWPA. [Downloadable!]
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