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Model Specification Tests Based on Artificial Linear Regressions

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Author Info
Russell Davidson
James G. MacKinnon

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Abstract

This paper develops a general procedure for performing a wide variety of model specification tests by running artificial linear regressions and then using conventional significance tests. In particular, this procedure allows us to develop non-nested hypothesis tests for any set of models which attempt to explain the same dependent variable(s), even when the error specifications of the models differ. For example, it is straightforward to test linear regression models against loglinear ones. These procedures are illustrated with an application to estimate competing models of personal savings in Canada.

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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 390.

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Length: 32
Date of creation: 1980
Date of revision:
Handle: RePEc:qed:wpaper:390

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  1. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  2. Badi H. Baltagi, 1999. "Specification Tests in Panel Data Models Using Artificial Regressions," Annales d'Economie et de Statistique, ADRES, issue 55-56, pages 11, Juillet-D. [Downloadable!]
  3. Michael Abbott, 1982. "Specification Tests of Quarterly Econometric Models of Aggregate Strike Frequency in Canada," Working Papers 527, Princeton University, Department of Economics, Industrial Relations Section.. [Downloadable!]
  4. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics. [Downloadable!]
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  5. Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics. [Downloadable!]
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  6. Z. L. Yang Y. K. Tse, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Australasian Meetings 302, Econometric Society. [Downloadable!]
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  7. Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 31-40. [Downloadable!] (restricted)
  8. James G. MacKinnon, 1988. "Heteroskedasticity-robust tests for structural change," Working Papers 717, Queen's University, Department of Economics. [Downloadable!]
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  9. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics. [Downloadable!]
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  10. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics. [Downloadable!]
  11. Russell Davidson & James Mackinnon, 1991. "Une nouvelle forme du test de la matrice d'information," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 09, Octobre-m. [Downloadable!]
  12. Benjamin Born & Jörg Breitung, 2009. "Simple Regression Based Tests for Spatial Dependence," Bonn Econ Discussion Papers bgse23_2009, University of Bonn, Germany. [Downloadable!]
  13. Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, EconWPA. [Downloadable!]
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