IDEAS home Printed from https://ideas.repec.org/p/ags/queddp/275156.html
   My bibliography  Save this paper

Several Tests for Model Specification in the Presence of Alternative Hypotheses

Author

Listed:
  • Davidson, Russell
  • MacKinnon, James G.

Abstract

Several procedures are proposed for testing the specification of an econometric model in the presence of one or more other models which purport to explain the same phenomenon. These procedures are shown to be closely related, but not identical, to the non-nested hypothesis tests recently proposed by Pesaran and Deaton [7], and to have similar asymptotic properties.. They are remarkably simple both conceptually and computationally, and, unlike earlier techniques, they may be used to test against several alternative models simultaneously. Some empirical results are presented which suggest that the ability of the tests to reject false hypotheses is likely to be rather good in practice.

Suggested Citation

  • Davidson, Russell & MacKinnon, James G., 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Queen's Institute for Economic Research Discussion Papers 275156, Queen's University - Department of Economics.
    • Handle: RePEc:ags:queddp:275156
    as

    Download full text from publisher

    File URL: http://ageconsearch.umn.edu/record/275156/files/QUEENS-IER-PAPER-378.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Michael C. Lovell, 1963. "Seasonal Adjustment of Economic Time Series and Multiple Regression," Cowles Foundation Discussion Papers 151, Cowles Foundation for Research in Economics, Yale University.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Financial Economics;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:queddp:275156. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/qedquca.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.