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Principles and Methods in the Testing of Alternative Models

Author

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  • Gordon Fisher
  • Michael McAleer

Abstract

This paper seeks to distinguish the principles upon which testing of statistical hypotheses may be based and the practical method which these principles generate. Six examples are given for the case of nested hypotheses as illustrations. The concept of an artificial model is analyzed. When arbitrary numerical methods are used as 'identifying' restrictions, the artificial model reduces to an algorithm since it cannot reasonably be 'accepted'.

Suggested Citation

  • Gordon Fisher & Michael McAleer, 1980. "Principles and Methods in the Testing of Alternative Models," Working Paper 400, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:400
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    References listed on IDEAS

    as
    1. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
    2. M. H. Pesaran, 1974. "On the General Problem of Model Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 41(2), pages 153-171.
    3. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 239-253.
    4. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    5. Giles, D E A & Smith, R G, 1977. "A Note on the Minimum Error Variance Rule and the Restricted Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 247-251, February.
    6. Quandt, Richard E, 1974. "A Comparison of Methods for Testing Nonnested Hypotheses," The Review of Economics and Statistics, MIT Press, vol. 56(1), pages 92-99, February.
    7. McAleer, Michael, 1980. "The minimum error variance rule for non-linear regression models," Economics Letters, Elsevier, vol. 6(1), pages 17-21.
    8. Schmidt, Peter, 1974. "A Note on Theil's Minimum Standard Error Criterion when the Disturbances are Autocorrelated," The Review of Economics and Statistics, MIT Press, vol. 56(1), pages 122-123, February.
    9. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-694, May.
    10. Kloek, T, 1975. "Note on a Large-Sample Result in Specification Analysis," Econometrica, Econometric Society, vol. 43(5-6), pages 933-936, Sept.-Nov.
    11. Morgan, Alison & Vandaele, Waiter, 1974. "On testing hypothesis in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 2(1), pages 55-65, May.
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    Cited by:

    1. Gordon Fisher & Allan W. Gregory & Michael McAleer, 1980. "Two Papers on Linear Models," Working Paper 411, Economics Department, Queen's University.

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