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Several Tests for Model Specification in the Presence of Alternative Hypotheses

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  • Davidson, Russell
  • MacKinnon, James G.

Abstract

Several procedures are proposed for testing the specification of an econometric model in the presence of one or more other models which purport to explain the same phenomenon. These procedures are shown to be closely related, but not identical, to the non-nested hypothesis tests recently proposed by Pesaran and Deaton [7], and to have similar asymptotic properties.. They are remarkably simple both conceptually and computationally, and, unlike earlier techniques, they may be used to test against several alternative models simultaneously. Some empirical results are presented which suggest that the ability of the tests to reject false hypotheses is likely to be rather good in practice.

Suggested Citation

  • Davidson, Russell & MacKinnon, James G., 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Queen's Institute for Economic Research Discussion Papers 275156, Queen's University - Department of Economics.
    • Handle: RePEc:ags:queddp:275156
    DOI: 10.22004/ag.econ.275156
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    References listed on IDEAS

    as
    1. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-694, May.
    2. Michael C. Lovell, 1963. "Seasonal Adjustment of Economic Time Series and Multiple Regression," Cowles Foundation Discussion Papers 151, Cowles Foundation for Research in Economics, Yale University.
    3. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
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