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NNEST: Stata module to perform J test and Cox-Pesaran-Deaton test for nonnested models

Author

Listed:
  • Gregorio Impavido

    (International Monetary Fund)

Programming Language

Stata

Abstract

nnest implements the J test (Davidson and MacKinnon, 1981) and the Cox-Pesaran-Deaton test (Cox 1961, 1962; Pesaran 1974; Pesaran and Deaton 1978) for non-nested models.

Suggested Citation

  • Gregorio Impavido, 1998. "NNEST: Stata module to perform J test and Cox-Pesaran-Deaton test for nonnested models," Statistical Software Components S352502, Boston College Department of Economics, revised 22 Nov 2011.
    • Handle: RePEc:boc:bocode:s352502
    Note: This module may be installed from within Stata by typing "ssc install nnest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/n/nnest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/n/nnest.hlp
    File Function: help file
    Download Restriction: no
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    Keywords

    Stata;

    Statistics

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