Statistical inference in non-nested econometric models

DOI10.1016/0096-3003(86)90008-1zbMATH Open0658.62134OpenAlexW2091424324MaRDI QIDQ1111308FDOQ1111308

Authors: Michael McAleer, M. Hashem Pesaran 

Publication date: 1986

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(86)90008-1

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zbMATH Keywords

Simulation resultsfinite-sample propertiesAtkinson's comprehensive model approachcomposite non-nested hypothesesCox's modification of the likelihood-ratio statisticRoy's union-intersection principletesting non-nested hypotheses

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

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• Some tests of separate families of hypotheses in time series analysis
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• Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses
• Asymptotic power comparisons of tests of separate parametric families by Bahadur's approach

Cited In (22)

• Tests of non-nested linear regression models subject to linear restrictions
• On Hypotheses Testing for the Selection of Spatio-Temporal Models
• Indirect inference in structural econometric models
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Comparing nonnested Cox models
• Alternative procedures and associated tests of significance for non- nested hypotheses
• Another look at the identification of current rational-expectations models
• Testing nested or non-nested hypotheses
• The distributions of the \(J\) and Cox non-nested tests in regression models with weakly correlated regressors
• A floor and ceiling model of US output
• The behaviour of linear model selection tests under globally non-nested hypotheses
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models
• Testing nested and non-nested periodically integrated autoregressive models
• Forecasting Levels in Loglinear Unit Root Models
• Unifying Chow's demand for money via the multiple Cox test
• Model specification tests against non-nested alternatives
• The significance of testing empirical non-nested models
• A general class of non-nested test statistics for models defined through moment restrictions
• Comparing Non-Nested Regression Models
• Regularity conditions for Cox's test of non-nested hypotheses
• Testing in econometrics: Are economic theories testable?
• Testing strategies for model specification

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