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Exact Tests of a Model Against Non-Nested Alternatives

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  • Michael McAleer

Abstract

This note applies the results of Milliken and Graybill (1970) to non-nested regression models. A test proposed by Fisher and McAleer (1981) is shown to have the t-distribution in small samples. An extended version of that test is developed for testing a model against several non-linear non-nested alternatives, and is shown to have the central F-distribution.

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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 431.

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Length: 10
Date of creation: 1981
Date of revision:
Handle: RePEc:qed:wpaper:431

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Cited by:
  1. Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria.
  2. Barten, Anton P. & McAleer, Michael, 1997. "Comparaison de la performance du point de vue empirique de systèmes de demandes alternatifs," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 27-45, mars-juin.
  3. Matteo Manera & Michael McAleer, 2001. "Testing Multiple Non-nested Factor Demand Systems," ISER Discussion Paper 0543, Institute of Social and Economic Research, Osaka University.
  4. McAleer, Michael, 1994. " Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-70, December.

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