Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables

DOI10.1080/03610926.2011.566975MaRDI QIDQ4649603zbMATH OpenOpenAlexFDO

Authors Efigénio Rebelo, Patrícia Oom do Valle, Rui Nunes

Publication date 12 November 2012

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.566975

zbMATH Keywords

Gauss-Newton regressionnonlinear instrumental variablesnonlinear regression functionnonnested testsserially correlated disturbances

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Testing Non-Nested Models After Estimation by Instrumental Variables or Least Squares
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• The significance of testing empirical non-nested models

Cited in

(3)

• Some results on the finite sample significance levels of instrumental variable tests for non-nested models
• Testing nested and non-nested periodically integrated autoregressive models
• TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION

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