Model Specification Tests Based on Artificial Linear Regressions

Russell Davidson and James MacKinnon

No 275162, Queen's Institute for Economic Research Discussion Papers from Queen's University - Department of Economics

Abstract: In this paper we develop an extremely general procedure for performing a wide variety of model specification tests by running artificial linear regressions and then using conventional significance tests. In particular, this procedure allows us to develop non-nested hypothesis tests for any set of models which attempt to explain the same dependent variable(s), even when the error specifications of the various models are not the same. For example, it is straightforward to test linear regression models against loglinear ones. These procedures are illustrated by an empirical application, in which we estimate and test several competing models of personal savings behavior in Canada.

Keywords: Financial Economics; International Development (search for similar items in EconPapers)
Pages: 36
Date: 1980
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https://ageconsearch.umn.edu/record/275162/files/QUEENS-IER-PAPER-390.pdf (application/pdf)

Related works:
Journal Article: Model Specification Tests Based on Artificial Linear Regressions (1984)
Working Paper: Model Specification Tests Based on Artificial Linear Regressions (1981)
Working Paper: Model Specification Tests Based on Artificial Linear Regressions (1980)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:queddp:275162

DOI: 10.22004/ag.econ.275162

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