Several Tests for Model Specification in the Presence of Alternative Hypotheses

Russell Davidson and James MacKinnon

No 275156, Queen's Institute for Economic Research Discussion Papers from Queen's University - Department of Economics

Abstract: Several procedures are proposed for testing the specification of an econometric model in the presence of one or more other models which purport to explain the same phenomenon. These procedures are shown to be closely related, but not identical, to the non-nested hypothesis tests recently proposed by Pesaran and Deaton [7], and to have similar asymptotic properties.. They are remarkably simple both conceptually and computationally, and, unlike earlier techniques, they may be used to test against several alternative models simultaneously. Some empirical results are presented which suggest that the ability of the tests to reject false hypotheses is likely to be rather good in practice.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 25
Date: 1980-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://ageconsearch.umn.edu/record/275156/files/QUEENS-IER-PAPER-378.pdf (application/pdf)

Related works:
Journal Article: Several Tests for Model Specification in the Presence of Alternative Hypotheses (1981)
Working Paper: Several Tests for Model Specification in the Presence of Alternative Hypotheses (1980)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:queddp:275156

DOI: 10.22004/ag.econ.275156

Access Statistics for this paper

More papers in Queen's Institute for Economic Research Discussion Papers from Queen's University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().