NNEST: Stata module to perform J test and Cox-Pesaran-Deaton test for nonnested models

Gregorio Impavido ()

Statistical Software Components from Boston College Department of Economics

Abstract: nnest implements the J test (Davidson and MacKinnon, 1981) and the Cox-Pesaran-Deaton test (Cox 1961, 1962; Pesaran 1974; Pesaran and Deaton 1978) for non-nested models.

Language: Stata
Requires: Stata version 9
Date: 1998-06-29, Revised 2011-11-22
Note: This module may be installed from within Stata by typing "ssc install nnest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/n/nnest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/nnest.hlp help file (text/plain)

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