Statistical inference in non-nested econometric models

DOI10.1016/0096-3003(86)90008-1zbMath0658.62134OpenAlexW2091424324MaRDI QIDQ1111308

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

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

Testing strategies for model specification ⋮ The significance of testing empirical non-nested models ⋮ Another look at the identification of current rational-expectations models ⋮ A floor and ceiling model of US output ⋮ Forecasting Levels in Loglinear Unit Root Models ⋮ Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models ⋮ 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 ⋮ Testing nested and non-nested periodically integrated autoregressive models ⋮ On Hypotheses Testing for the Selection of Spatio-Temporal Models

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