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Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses

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  • Gordon Fisher
  • Michael McAleer

Abstract

This paper attempts to synthesize various procedures for testing non-nested hypotheses within the framework of artificial nesting, and establishes the result that different tests correspond to different treatments of its identification problem. Numerical and a priori identification methods are distinguished. We derive two modified likelihood ratio tests that are asymptotically equivalent to the Cox-test and explain the relationship between them. The tests are consistent.

Suggested Citation

  • 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.
  • Handle: RePEc:qed:wpaper:420
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