Several Tests for Model Specification in the Presence of Alternative Hypotheses

Russell Davidson and James MacKinnon

Working Paper from Economics Department, Queen's University

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

Keywords: nonnested hypotheses; J test; Cox test; specification test (search for similar items in EconPapers)
Pages: 21
Date: 1980
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Citations: View citations in EconPapers (10)

Published in Econometrica, 49, 1981

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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)
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