A non-nested test of level-differenced versus log-differenced stationary models

DOI10.1080/07474939508800316MaRDI QIDQ4853097zbMATH OpenOpenAlexFDO

Authors Bahram Pesaran, M. Hashem Pesaran

Publication date 3 December 1995

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939508800316

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12)

Cites work

• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Model Specification Tests Based on Artificial Linear Regressions
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing Linear and Log-Linear Regressions for Functional Form
• Testing Linear versus Logarithmic Regression Models
• Tests for model specification in the presence of alternative hypotheses
• Using Least Squares to Approximate Unknown Regression Functions

Cited in

(9)

• Inference after separated hypotheses testing: an empirical investigation for linear models
• Cointegration analysis and category sales: Stationarity and long-run equilibrium in market shares
• An illustration of Cox's non-nested testing procedure for logit and probit models
• Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results
• Estimating long-run relationships from dynamic heterogeneous panels
• Bootstrap Tests of Nonnested Hypotheses: Some Further Results
• A tobit model with garch errors
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models

Describes a project that uses

Uses Software

• Microfit

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