TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION

DOI10.1017/S1365100500014036MaRDI QIDQ4496475zbMATH OpenFDO

Authors Norman R. Swanson, John C. Chao

Publication date 11 June 2001

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S1365100500014036

zbMATH Keywords

\(J\)-testcointegrationconditional modelencompassingnonnested hypotheses

Mathematics Subject Classification ID

General nonlinear regression (62J02) Production theory, theory of the firm (91B38) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• A specification test for nonlinear nonstationary models
• Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary
• Hypothesis testing for nearly nonstationary autoregressive models
• Testing predictive regression models with nonstationary regressors
• Nonparametric pseudo-Lagrange multiplier stationarity testing
• Stationarity testing under nonlinear models. Some asymptotic results
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• Testing heteroskedasticity for predictive regressions with nonstationary regressors
• Nonparametric panel stationarity testing with an application to crude oil production

Cited in

(1)

• Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions

This page was built for publication: TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4496475)