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Model Specification Tests Against Non-Nested Alternatives

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  • James G. MacKinnon

Abstract

Non-nested hypothesis tests provide a way to test the specification of an econometric model against the evidence provided by one or more non-nested alternatives. This paper surveys the recent literature on non-nested hypothesis testing in the context of regression and related models. Much of the purely statistical literature which has evolved from the fundamental work of Cox is discussed briefly or not at all. Instead, emphasis is placed on those techniques which are easy to employ in practice and are likely to be useful to applied workers.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_573.pdf
File Function: First version 1983
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 573.

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Length: 23
Date of creation: 1983
Date of revision:
Publication status: Published in Econometric Reviews, 2, 1983
Handle: RePEc:qed:wpaper:573

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Keywords: Cox test; nonnested hypotheses; J test; specification tests; nonnested hypothesis test;

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References

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  1. Michelis, Leo, 1999. "The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors," Journal of Econometrics, Elsevier, vol. 93(2), pages 369-401, December.
  2. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
  3. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
  4. Russell Davidson & James G. MacKinnon, 1985. "Testing Linear and Loglinear Regressions against Box-Cox Alternatives," Canadian Journal of Economics, Canadian Economics Association, vol. 18(3), pages 499-517, August.
  5. Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.
  6. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
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Citations

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Cited by:
  1. Smith, Mark E. & van Ravenswaay, Eileen O. & Thompson, Stanley R., 1987. "Sales Loss Determination in Food Contamination Incidents: An Application to Milk Bans in Hawaii," Working Papers 115803, Regional Research Project NE-165 Private Strategies, Public Policies, and Food System Performance.
  2. Coelli, Tim J. & Lloyd-Smith, J. & Morrison, D. & Thomas, J., 1991. "Hedonic Pricing For A Cost Benefit Analysis Of A Public Water Supply Scheme," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 35(01), April.
  3. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
  4. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Marmer, Vadim & Otsu, Taisuke, 2012. "Optimal comparison of misspecified moment restriction models under a chosen measure of fit," Journal of Econometrics, Elsevier, vol. 170(2), pages 538-550.
  6. Arize, A. C. & Shwiff, Steven S., 1998. "The appropriate exchange-rate variable in the money demand of 25 countries: an empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 9(2), pages 169-185, December.
  7. Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia & Karlis, Dimitris, 2005. "The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection," MPRA Paper 6355, University Library of Munich, Germany.
  8. Treviño, Len J. & Mixon, Franklin G., 2004. "Strategic factors affecting foreign direct investment decisions by multi-national enterprises in Latin America," Journal of World Business, Elsevier, vol. 39(3), pages 233-243, August.
  9. Otsu, Taisuke & Seo, Myung Hwan & Whang, Yoon-Jae, 2012. "Testing for non-nested conditional moment restrictions using unconditional empirical likelihood," Journal of Econometrics, Elsevier, vol. 167(2), pages 370-382.
  10. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
  11. Mixon, Franklin Jr. & Upadhyaya, Kamal P., 2004. "Examining legislative challenges to central bank autonomy: macroeconomic and agency costs models," Journal of Economics and Business, Elsevier, vol. 56(5), pages 415-428.
  12. Rajagopal, Dagmar & Shah, Anwar, 1995. "A rational expectations model for tax policy analysis: An evaluation of tax incentives for the textile, chemical and pharmaceutical industries of Pakistan," Journal of Public Economics, Elsevier, vol. 57(2), pages 249-276, June.
  13. M.A.Hossain, 2001. "On Export-Led Growth: Is Manufacturing Exports a New Engine of Growth for Bangladesh?," Discussion Papers Series 297, School of Economics, University of Queensland, Australia.
  14. Franklin Mixon & M. Gibson, 2001. "The Retention of State Level Concealed Handgun Laws: Empirical Evidence from Interest Group and Legislative Models," Public Choice, Springer, vol. 107(1), pages 1-20, April.
  15. J M C Santos Silva, 1996. "A Score Test for Non-nested Hypotheses with Applications to Discrete Data Models," Discussion Papers 96-28 ISSN 1350-6722, University College London, Department of Economics.
  16. Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).
  17. Jaime Marquez, 1992. "Life expectancy of international cartels: an empirical analysis," International Finance Discussion Papers 439, Board of Governors of the Federal Reserve System (U.S.).
  18. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.

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