Several Tests for Model Specification in the Presence of Alternative Hypotheses
AbstractSeveral procedures are proposed for testing the specification of an econometric model when one or more models purport to explain the same phenomenon. These procedures are closely related, although not identical, to non-nested hypothesis tests proposed by Pesaran and Deaton, and have similar asymptotic properties. They are simple conceptually and computationally, and unlike earlier techniques, may be used to test against several alternative models simultaneously. Some empirical results suggest that ability of the tests to reject false hypotheses is likely to be good in practice.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 378.
Date of creation: 1980
Date of revision:
Publication status: Published in Econometrica, 49, 1981
nonnested hypotheses; J test; Cox test; specification test;
Other versions of this item:
- Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
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