The significance of testing empirical non-nested models

DOI10.1016/0304-4076(94)01631-9zbMath0925.62525OpenAlexW2070209193MaRDI QIDQ1893409

Michael McAleer

Publication date: 8 November 1999

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01631-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (17)

TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ NONNESTED LINEAR MODEL SELECTION REVISITED ⋮ FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS ⋮ Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap ⋮ Specification tests of calibrated option pricing models ⋮ Post-\(J\) test inference in non-nested linear regression models ⋮ Non-nested hypothesis testing inference for GAMLSS models ⋮ Least squares model averaging for two non-nested linear models ⋮ Nonnested hypothesis testing in the class of varying dispersion beta regressions ⋮ Is Greater China a currency union?: A tale of the Chinese trio ⋮ Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models ⋮ Improving robust model selection tests for dynamic models ⋮ Nonnested Testing for Competing Autoregressive Dynamic Models Estimated by Instrumental Variables ⋮ Encompassing tests when no model is encompassing ⋮ Testing nested and non-nested periodically integrated autoregressive models ⋮ Measures of relative model fit. ⋮ Bootstrap \(J\) tests of nonnested linear regression models

Uses Software

• Microfit

Cites Work

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