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On the Consistency of Joint and Paired Tests for Non-Nested Regression Models

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  • Naorayex K. Dastoor
  • Michael McAleer

Abstract

This paper examines the consistency properties of some tests of a null model against a single non-nested alternative and against multiple non-nested alternatives (paired and joint tests, respectively). Consistency of the tests is evaluated. First, even when all possible paired comparisons are made, paired tests may be inconsistent unless the true alternative is used. A joint test can be consistent when the paired Wald test based on the comprehensive model may be inconsistent, thereby formalizing the notion that a joint test may be more widely consistent then a paired test. Finally we show that when a fixed alternative for the paired test is true, the power of a joint test can never exceed that of the paired test.

Suggested Citation

  • Naorayex K. Dastoor & Michael McAleer, 1985. "On the Consistency of Joint and Paired Tests for Non-Nested Regression Models," Working Paper 614, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:614
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    Cited by:

    1. Colin R. McKenzie & Michael McAleer & Len Gill, 1999. "Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models," The Japanese Economic Review, Japanese Economic Association, vol. 50(3), pages 239-252, September.
    2. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
    3. Smith, Marlene A & Smyth, David J, 1991. "Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(1), pages 17-30, Jan.-Marc.
    4. McAleer, Michael, 1994. "Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-370, December.

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