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Tests for Two Separate Regressions

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  • Gordon R. Fisher

Abstract

Several recently proposed tests for separate regressions are examined in light of recommendations by Cox (1961). This points to simplified criteria and emphasizes the unity underlying the tests. The exact distributions of some of the tests are developed and given a geometrical characterization. An orthogonal decomposition is proposed which provides a direct link between the F-test and tests based upon artificial nesting.

Suggested Citation

  • Gordon R. Fisher, 1982. "Tests for Two Separate Regressions," Working Paper 503, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:503
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    Cited by:

    1. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
    2. Mora, Juan, 1994. "Semiparametric testing of non-nested models: an application to Engel Curves specification," DES - Working Papers. Statistics and Econometrics. WS 3953, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Dastoor, Naorayex K. & Fisher, Gordon, 1988. "On Point-Optimal Cox Tests," Econometric Theory, Cambridge University Press, vol. 4(1), pages 97-107, April.
    4. Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
    5. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
    6. Michelis, Leo, 1999. "The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors," Journal of Econometrics, Elsevier, vol. 93(2), pages 369-401, December.

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