Regularity conditions for Cox's test of non-nested hypotheses

DOI10.1016/0304-4076(82)90007-0zbMATH Open0539.62032OpenAlexW1970896069MaRDI QIDQ794080FDOQ794080

Halbert White

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90007-0

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zbMATH Keywords

non-nested hypothesesasymptotic normality of Cox's statisticgeneral regularity conditions

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Maximum Likelihood Estimation of Misspecified Models
• Consequences and Detection of Misspecified Nonlinear Regression Models
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing Non-Nested Nonlinear Regression Models
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• Asymptotic Properties of Non-Linear Least Squares Estimators
• Title not available (Why is that?)
• Using Least Squares to Approximate Unknown Regression Functions
• Title not available (Why is that?)
• Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation
• Title not available (Why is that?)
• Some tests of separate families of hypotheses in time series analysis

Cited In (41)

• Empiricial Comparison between Some Model Selection Criteria
• An illustration of Cox's non-nested testing procedure for logit and probit models
• A systematic look at the gamma process capability indices
• On Hypotheses Testing for the Selection of Spatio-Temporal Models
• A likelihood ratio test to discriminate exponential–Poisson and gamma distributions
• Discriminating between the log-normal and generalized exponential distributions
• Asymptotic variance of test statistics in the ML and QML frameworks
• Selecting the best linear regression model. A classical approach
• Statistical inference in non-nested econometric models
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Combining monte carlo and cox tests of non-nested hypotheses
• Minimum distance estimators for count data based on the probability generating function with applications
• Discriminating between Weibull and generalized exponential distributions
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
• Structural econometric methods in auctions: a guide to the literature
• Testing nested or non-nested hypotheses
• Inference after separated hypotheses testing: an empirical investigation for linear models
• Discriminating among Weibull, log-normal, and log-logistic distributions
• Discriminating Between the Log-Normal and Log-Logistic Distributions
• Robust inference by influence functions
• Tests for model specification in the presence of alternative hypotheses
• Some pitfalls of tests of separate families of hypotheses: normality vs. lognormality
• Variable selection and transformation in linear regression models
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models
• Fourier methods for model selection
• On the maximum likelihood ratio method of deciding between the weibull and gamma distributions
• Discriminating between gamma and generalized exponential distributions
• Mixtures of tails in clustered automobile collision claims
• Empirical likelihood ratio tests for non-nested model selection based on predictive losses
• A sequential sampling approach for discriminating log-normal, Weibull, and log-logistic distributions
• A nonnested approach to testing continuous time models against discrete alternatives
• The significance of testing empirical non-nested models
• Testing non-nested log-linear models with pseudo estimator
• Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
• Chernoff index for Cox test of separate parametric families
• Non-nested testing of spatial correlation
• General Saddlepoint Approximation for Testing Separate Location-Scale Families of Hypotheses
• Fréchet and inverse gamma distributions: correct selection and minimum sample size to discriminate them
• Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method
• Choice between and within the classes of Poisson-Tweedie and Poisson-exponential-Tweedie count models

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