Exact Tests of a Model Against Non-Nested Alternatives

Michael McAleer

Working Paper from Economics Department, Queen's University

Abstract: This note applies the results of Milliken and Graybill (1970) to non-nested regression models. A test proposed by Fisher and McAleer (1981) is shown to have the t-distribution in small samples. An extended version of that test is developed for testing a model against several non-linear non-nested alternatives, and is shown to have the central F-distribution.

Pages: 10
Date: 1981
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:431

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