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Separate Misspecified Regressions

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  • Michael McAleer
  • Gordon Fisher

Abstract

This note applies the traditional analysis of specification error to the Cox-tests for separate regression models. Incorrect inclusion of variables in the alternative model leads to consistent tests of the null, whereas incorrect exclusion of variables from the alternative may render the tests inconsistent. Since Cox's procedure requires reversing the roles of the null and the alternative, the consequences of misspecifying the null are also examined. Misspecification of the null does not affect test consistency.

Suggested Citation

  • Michael McAleer & Gordon Fisher, 1981. "Separate Misspecified Regressions," Working Paper 424, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:424
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    Cited by:

    1. Yash P. Mehra, 1984. "The tax effect, and the recent behaviours of the after-tax real rate : is it too high?," Economic Review, Federal Reserve Bank of Richmond, vol. 70(Jul), pages 8-20.

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