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A simulation approach to the problem of computing Cox's statistic for testing nonnested models

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  • Hashem Pesaran, M.
  • Pesaran, Bahram

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  • Hashem Pesaran, M. & Pesaran, Bahram, 1993. "A simulation approach to the problem of computing Cox's statistic for testing nonnested models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 377-392.
  • Handle: RePEc:eee:econom:v:57:y:1993:i:1-3:p:377-392
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    Cited by:

    1. Maozu Lu & Grayham E. Mizon & Chiara Monfardini, 2008. "Simulation Encompassing: Testing Non-nested Hypotheses," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 781-806, December.
    2. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    3. 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.
    4. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
    5. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.
    6. Duncan, Alan & Weeks, Melvyn, 1997. "Behavioural tax microsimulation with finite hours choices," European Economic Review, Elsevier, vol. 41(3-5), pages 619-626, April.
    7. 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.
    8. Heinz König & Michael Lechner, 1994. "Some Recent Developments in Microeconometrics - A Survey," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 299-331, September.
    9. Kaitibie, Simeon & Nganje, William E. & Brorsen, B. Wade & Epplin, Francis M., 2003. "Optimal Grazing Pressure Under Output Price And Production Uncertainty With Alternative Functional Forms," 2003 Annual meeting, July 27-30, Montreal, Canada 22020, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Godwin Nwaobi, 2002. "A vector error correction and nonnested modeling of money demand function in Nigeria," Economics Bulletin, AccessEcon, vol. 3(4), pages 1-8.
    11. M. Genius & E. Strazzera, 2000. "Evaluation of likelihood based tests for non-nested dichotomus choice contingent valuation models," Working Paper CRENoS 200012, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    12. Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
    13. Dameus, Alix & Brorsen, B. Wade & Sukhdial, Kullapapruk Piewthongngam & Richter, Francisca G.-C., 2001. "Aids Versus Rotterdam: A Cox Nonnested Test With Parametric Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20453, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    14. Yeo, In-Kwon, 2005. "Variable selection and transformation in linear regression models," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 219-226, May.
    15. Genius, Margarita & Strazzera, Elisabetta, 2002. "A note about model selection and tests for non-nested contingent valuation models," Economics Letters, Elsevier, vol. 74(3), pages 363-370, February.
    16. Gabriel Garber & Márcio Issao Nakane, 2016. "Undue charges and price discrimination," Working Papers, Department of Economics 2016_27, University of São Paulo (FEA-USP).
    17. M. T. Aparicio & I. Villanúa, 2012. "Selection criteria for overlapping binary Models," Documentos de Trabajo dt2012-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    18. Godfrey, Leslie G., 2007. "On the asymptotic validity of a bootstrap method for testing nonnested hypotheses," Economics Letters, Elsevier, vol. 94(3), pages 408-413, March.
    19. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
    20. Orme, Chris, 1995. "Simulated conditional moment tests," Economics Letters, Elsevier, vol. 49(3), pages 239-245, September.
    21. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    22. Dameus, Alix & Richter, Francisca G.-C. & Brorsen, B. Wade & Sukhdial, Kullapapruk Piewthongngam, 2002. "Aids Versus The Rotterdam Demand System: A Cox Test With Parametric Bootstrap," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(02), December.
    23. Monfardini, Chiara, 2003. "An illustration of Cox's non-nested testing procedure for logit and probit models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 425-444, March.
    24. Coulibaly, Nouhoun & Brorsen, B. Wade, 1997. "A Monte Carlo Sampling Approach to Testing Separate Families of Hypotheses: Monte Carlo Results," 1997 Annual Meeting, July 13-16, 1997, Reno\Sparks, Nevada 35879, Western Agricultural Economics Association.

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