Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence

DOI10.1016/0304-4076(83)90123-9zbMath0519.62099OpenAlexW1540297867WikidataQ126772066 ScholiaQ126772066MaRDI QIDQ1054435

Leslie G. Godfrey, M. Hashem Pesaran

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90123-9

zbMATH Keywords

non-nested modelsasymptotic significance levelsCox-type testsDavidson-McKinnon J-testFisher-McAleer testlagged values of dependent variablessmall sample significance levels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (24)

Exact permutation tests for non-nested non-linear regression models ⋮ TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ NONNESTED LINEAR MODEL SELECTION REVISITED ⋮ The significance of testing empirical non-nested models ⋮ Robust inference by influence functions ⋮ Statistical inference in non-nested econometric models ⋮ Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap ⋮ The J-test as a Hausman specification test ⋮ Characterization of the exact finite-sample distribution of a routine test statistic for non-nested regressions ⋮ Unifying Chow's demand for money via the multiple Cox test ⋮ Post-\(J\) test inference in non-nested linear regression models ⋮ A monte carlo study of tests for non-nested models estimated by generalized method of moments ⋮ Tests of non-nested linear regression models subject to linear restrictions ⋮ Sensitivity of computer simulation experiments to errors in input data ⋮ Improving robust model selection tests for dynamic models ⋮ Bootstrapping J-type tests for non-nested regression models ⋮ Checks of model adequacy for univariate time series models and their application to econometric relationships ⋮ Encompassing tests when no model is encompassing ⋮ A simple test for regression specification with non-nested alternatives ⋮ A comparison of nonnested tests for misspecified models using the method of approximate slopes ⋮ A simulation approach to the problem of computing Cox's statistic for testing nonnested models ⋮ The distributions of the \(J\) and Cox non-nested tests in regression models with weakly correlated regressors ⋮ Measures of relative model fit. ⋮ Bootstrap \(J\) tests of nonnested linear regression models

Cites Work

• Alternative procedures and associated tests of significance for non- nested hypotheses
• Regularity conditions for Cox's test of non-nested hypotheses
• Testing nested or non-nested hypotheses
• Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing Non-Nested Models After Estimation by Instrumental Variables or Least Squares
• On the General Problem of Model Selection
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