Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production
John Chao () and
Norman Swanson ()
Working Papers from Pennsylvania State - Department of Economics
In this paper, the authors provide some asymptotic results for the J-type test on non-nested hypotheses proposed by Davidson and MacKinnon (1981), in the context of I(1) time series.
Keywords: ECONOMETRICS; ECONOMIC MODELS; REGRESSION ANALYSIS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C14 C22 C53 (search for similar items in EconPapers)
Pages: 51 pages
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Journal Article: TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pensta:9-97-3
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