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Model Specification Tests Against Non-Nested Alternatives

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Author Info
James G. MacKinnon

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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://www.econ.queensu.ca/working_papers/papers/qed_wp_573.pdf
File Format: application/pdf
File Function: First version 1983
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Publisher 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
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Publication status: Published in Econometric Reviews, 2, 1983
Handle: RePEc:qed:wpaper:573

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Related research
Keywords: Cox test nonnested hypotheses J test specification tests nonnested hypothesis test

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 419-429. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597. [Downloadable!]
    Other versions:
  2. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  3. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008. "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Micro Theory Working Papers vadim_marmer-2008-14, Microeconomics.ca Website, revised 22 Oct 2008. [Downloadable!]
  4. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models," Micro Theory Working Papers vadim_marmer-2008-13, Microeconomics.ca Website, revised 05 Oct 2008. [Downloadable!]
  5. 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. [Downloadable!]
  6. Vuong, Quang H., 1986. "Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses," Working Papers 605, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  7. 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. [Downloadable!]
  8. Glenn T. Sueyoshi, 1994. "Regression Based Tests for Non-Nested Alternatives in Grouped Duration Models," University of California at San Diego, Economics Working Paper Series 94-11, Department of Economics, UC San Diego. [Downloadable!]
  9. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation, Yale University. [Downloadable!]
  10. 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.). [Downloadable!]
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