Comparison of Local Power of Alternative Tests of Non-Nested Regression Models

DOI10.2307/1911874MaRDI QIDQ3347135zbMATH OpenOpenAlexFDO

Authors M. Hashem Pesaran

Publication date 1982

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911874

zbMATH Keywords

asymptotic powerCox's non-nested testF testJ testlocal powersmall sample propertiestesting non-nested regression models

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
• The distributions of the \(J\) and Cox non-nested tests in regression models with weakly correlated regressors
• Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
• The behaviour of linear model selection tests under globally non-nested hypotheses
• Model specification tests against non-nested alternatives

Cited in

(24)

• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• On exact and asymptotic tests of non-nested models
• Statistical inference in non-nested econometric models
• On the comprehensive method of testing non-nested regression models
• Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method
• Some aspects of testing non-nested hypotheses
• Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria
• A power comparison between nonparametric regression tests.
• A comparison of nonnested tests for misspecified models using the method of approximate slopes
• The distributions of the \(J\) and Cox non-nested tests in regression models with weakly correlated regressors
• The significance of testing empirical non-nested models
• A note on the local power of the LR, Wald, score and gradient tests
• The behaviour of linear model selection tests under globally non-nested hypotheses
• The J-test as a Hausman specification test
• TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS
• ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
• Comparing Non-Nested Regression Models
• A monte carlo study of tests for non-nested models estimated by generalized method of moments
• On local power properties of the LR, Wald, score and gradient tests in nonlinear mixed-effects models
• Local power of some tests in exponential family nonlinear models
• Bootstrapping J-type tests for non-nested regression models
• Selecting local models in multiple regression by maximizing power
• Regularity conditions for Cox's test of non-nested hypotheses
• Post-\(J\) test inference in non-nested linear regression models

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