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The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors

Listed author(s):
  • Michelis, Leo

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(99)00026-3
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 93 (1999)
Issue (Month): 2 (December)
Pages: 369-401

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Handle: RePEc:eee:econom:v:93:y:1999:i:2:p:369-401
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Neftci, Salih & Sargent, Thomas J., 1978. "A little bit of evidence on the natural rate hypothesis from the U.S," Journal of Monetary Economics, Elsevier, vol. 4(2), pages 315-319, April.
  2. M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
  3. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
  4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  5. Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
  6. Dastoor, Naorayex K., 1983. "Some aspects of testing non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(2), pages 213-228, February.
  7. Pesaran, M H, 1982. "A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis," Economic Journal, Royal Economic Society, vol. 92(367), pages 529-554, September.
  8. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
  9. Szroeter, Jerzy, 1992. "The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses," Econometric Theory, Cambridge University Press, vol. 8(04), pages 553-569, December.
  10. Fisher, Gordon R., 1983. "Tests for two separate regressions," Journal of Econometrics, Elsevier, vol. 21(1), pages 117-132, January.
  11. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
  12. 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.
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