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On Point-Optimal Cox Tests

Author

Listed:
  • Naorayex K. Dastoor
  • Gordon Fisher

Abstract

This paper is concerned with the problem of testing one form of covariance structure against another in a normal linear regression. All point-optimal tests recently proposed by King and his associates can be interpreted as special cases of the Cox test for non-nested hypotheses. This provides a synthesis that King and his associates have exposed a class of Cox tests which have an exact distribution.

Suggested Citation

  • Naorayex K. Dastoor & Gordon Fisher, 1987. "On Point-Optimal Cox Tests," Working Paper 678, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:678
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    Cited by:

    1. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    2. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.

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