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Several Tests for Model Specification in the Presence of Alternative Hypotheses

Author

Listed:
  • Russell Davidson
  • James G. MacKinnon
Abstract
Several procedures are proposed for testing the specification of an econometric model when one or more models purport to explain the same phenomenon. These procedures are closely related, although not identical, to non-nested hypothesis tests proposed by Pesaran and Deaton, and have similar asymptotic properties. They are simple conceptually and computationally, and unlike earlier techniques, may be used to test against several alternative models simultaneously. Some empirical results suggest that ability of the tests to reject false hypotheses is likely to be good in practice.

Suggested Citation

  • Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Paper 378, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:378
    as

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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-694, May.
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