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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 an extremely general procedure for performing a wide variety of model specification tests by running artificial linear regressions. Inference may then be based either on a Lagrange Multiplier statistic from the procedure, or on conventional asymptotic t or F tests based on the artificial regressions. 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 competing models differ.

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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 426.

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Length: 31
Date of creation: 1981
Date of revision:
Publication status: Published in International Economic Review, 25, 1984
Handle: RePEc:qed:wpaper:426

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  1. Z. L. Yang Y. K. Tse, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Australasian Meetings 302, Econometric Society. [Downloadable!]
    Other versions:
  2. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics. [Downloadable!]
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  3. 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)
    Other versions:
  4. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  5. 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!]
  6. 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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  7. Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics. [Downloadable!]
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  8. 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)
  9. James G. MacKinnon, 1988. "Heteroskedasticity-robust tests for structural change," Working Papers 717, 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. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, EconWPA. [Downloadable!]
    Other versions:
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