Model Specification Tests Based on Artificial Linear Regressions

Russell Davidson and James MacKinnon

Working Paper from Economics Department, Queen's University

Abstract: This paper develops an extremely general procedure for performing a wide variety of model specification tests by running artificial linear regressions. Inference may then be based either on a Lagrange Multiplier statistic from the procedure, or on conventional asymptotic t or F tests based on the artificial regressions. 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 competing models differ.

Pages: 31
Date: 1981
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in International Economic Review, 25, 1984

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

Related works:
Journal Article: Model Specification Tests Based on Artificial Linear Regressions (1984)
Working Paper: Model Specification Tests Based on Artificial Linear Regressions (1980)
Working Paper: Model Specification Tests Based on Artificial Linear Regressions (1980)
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:426

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 ().