Statistical inference in non-nested econometric models

DOI10.1016/0096-3003(86)90008-1MaRDI QIDQ1111308zbMATH OpenOpenAlexFDO

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

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)

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• Specification Tests in Econometrics
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Cited in

(22)

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

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