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Alternative Approaches To Testing Non-Nested Models With Autocorrelated Disturbances: An Application To Models Of U.S. Unemployment

  • MCLEER, M.
  • BERA, A.K.

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Paper provided by Tilburg - Center for Economic Research in its series Papers with number 9004.

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Length: 22 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:fth:tilbur:9004
Phone: 31 13 4663050
Fax: 31 13 4663066
Web page:

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  1. Barro, Robert J, 1979. "Unanticipated Money Growth and Unemployment in the United States: Reply," American Economic Review, American Economic Association, vol. 69(5), pages 1004-09, December.
  2. Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
  3. 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.
  4. David Backus, 1982. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Working Papers 463, Queen's University, Department of Economics.
  5. Pesaran, M Hashem, 1988. "On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder," Economic Journal, Royal Economic Society, vol. 98(391), pages 504-08, June.
  6. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  7. Murphy, Kevin M & Topel, Robert H, 1985. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 370-79, October.
  8. Pagan, Adrian, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 517-38, August.
  9. Dastoor, Naorayex K., 1983. "Some aspects of testing non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(2), pages 213-228, February.
  10. McAleer, M. & McKenzie, C.R., 1990. "Keynesian and new classical models of unemployment revisited," Discussion Paper 1990-6, Tilburg University, Center for Economic Research.
  11. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
  12. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  13. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
  14. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
  15. Ben S. Bernanke & Henning Bohn & Peter C. Reiss, 1985. "Alternative Nonnested Specification Tests of Time Series Investment Models," NBER Technical Working Papers 0049, National Bureau of Economic Research, Inc.
  16. 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.
  17. 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 529-54, September.
  18. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-94, May.
  19. Rush, Mark & Waldo, Douglas, 1988. "On the Policy Ineffectiveness Proposition and a Keynesian Alternative," Economic Journal, Royal Economic Society, vol. 98(391), pages 498-503, June.
  20. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  21. 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 657-78, May.
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