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

  • MCLEER, M.
  • PESARAN, M.H.
  • 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
Contact details of provider: Postal:
TILBURG UNIVERSITY, CENTER FOR ECONOMIC RESEARCH, 5000 LE TILBURG THE NETHERLANDS.

Phone: 31 13 4663050
Fax: 31 13 4663066
Web page: http://center.uvt.nl/
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  1. 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.
  2. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-15, March.
  3. McAleer, M. & McKenzie, C.R., 1990. "Keynesian and new classical models of unemployment revisited," Discussion Paper 1990-6, Tilburg University, Center for Economic Research.
  4. 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.
  5. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
  6. 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.
  7. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
  8. Bernanke, Ben & Bohn, Henning & Reiss, Peter C., 1988. "Alternative non-nested specification tests of time-series investment models," Journal of Econometrics, Elsevier, vol. 37(3), pages 293-326, March.
  9. 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.
  10. M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
  11. David Backus, 1982. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Working Papers 463, Queen's University, Department of Economics.
  12. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 517-538.
  13. 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.
  14. 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.
  15. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
  16. 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.
  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. Murphy, Kevin M & Topel, Robert H, 2002. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 88-97, January.
  19. Dastoor, Naorayex K., 1983. "Some aspects of testing non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(2), pages 213-228, February.
  20. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-94, May.
  21. 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.
  22. 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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