A comparison of nonnested tests for misspecified models using the method of approximate slopes

DOI10.1016/0304-4076(93)90065-DMaRDI QIDQ1801418zbMATH OpenOpenAlexFDO

Authors Jeffrey E. Zabel

Publication date 25 August 1993

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(93)90065-d

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites work

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• Model specification tests against non-nested alternatives
• Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
• On the General Problem of Model Selection
• Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics
• Rates of Convergence of Estimates and Test Statistics
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Some Non-Nested Hypothesis Tests and the Relations Among Them
• Stochastic Comparison of Tests
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• The Approximate Slopes of Econometric Tests

Cited in

(3)

• COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
• Competitive multi-period pricing for perishable products: a robust optimization approach
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models

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