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Several Tests for Model Specification in the Presence of Alternative Hypotheses

Author

Listed:
  • Russell Davidson
  • James G. MacKinnon

Abstract

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

Suggested Citation

  • 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.
  • Handle: RePEc:qed:wpaper:378
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