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Model Specification Tests Against Non-Nested Alternatives

Author

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  • James G. MacKinnon

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.

Suggested Citation

  • James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Paper 573, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:573
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_573.pdf
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    References listed on IDEAS

    as
    1. Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.
    2. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
    3. Russell Davidson & James G. MacKinnon, 1985. "Testing Linear and Loglinear Regressions against Box-Cox Alternatives," Canadian Journal of Economics, Canadian Economics Association, vol. 18(3), pages 499-517, August.
    4. Michelis, Leo, 1999. "The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors," Journal of Econometrics, Elsevier, vol. 93(2), pages 369-401, December.
    5. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
    6. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cox test; nonnested hypotheses; J test; specification tests; nonnested hypothesis test;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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