Model Specification Tests Against Non-Nested Alternatives

James MacKinnon

Working Paper from Economics Department, Queen's University

Abstract: Non-nested hypothesis tests provide a way to test the specification of an econometric model against the evidence provided by one or more non-nested alternatives. This paper surveys the recent literature on non-nested hypothesis testing in the context of regression and related models. Much of the purely statistical literature which has evolved from the fundamental work of Cox is discussed briefly or not at all. Instead, emphasis is placed on those techniques which are easy to employ in practice and are likely to be useful to applied workers.

Keywords: Cox test; nonnested hypotheses; J test; specification tests; nonnested hypothesis test (search for similar items in EconPapers)
JEL-codes: C10 C12 (search for similar items in EconPapers)
Pages: 23
Date: 1983
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

Published in Econometric Reviews, 2, 1983

Downloads: (external link)
http://qed.econ.queensu.ca/working_papers/papers/qed_wp_573.pdf First version 1983 (application/pdf)

Related works:
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:573

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 ().