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Two Papers on Model Testing and Discrimination

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  • Gordon Fisher
  • Michael McAleer

Abstract

The first paper demonstrates that Theil's (1961) minimum error variance criterion is asymptotically valid for choosing between non-nested non-linear regression models, as long as one of the models is 'true'. The second paper shows that when the null and alternative hypotheses are separate regression models, Atkinson's procedure always provides a consistent test.

Suggested Citation

  • Gordon Fisher & Michael McAleer, 1980. "Two Papers on Model Testing and Discrimination," Working Paper 416, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:416
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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. M. H. Pesaran, 1974. "On the General Problem of Model Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 41(2), pages 153-171.
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