Separate Misspecified Regressions

Michael McAleer and Gordon Fisher

Working Paper from Economics Department, Queen's University

Abstract: This note applies the traditional analysis of specification error to the Cox-tests for separate regression models. Incorrect inclusion of variables in the alternative model leads to consistent tests of the null, whereas incorrect exclusion of variables from the alternative may render the tests inconsistent. Since Cox's procedure requires reversing the roles of the null and the alternative, the consequences of misspecifying the null are also examined. Misspecification of the null does not affect test consistency.

Pages: 15
Date: 1981
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:qed:wpaper:424

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock (babcockm@queensu.ca).