The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors

Journal of Econometrics

Volumn 93, Issue 2, 1999, Pages 369-401

  Michelis, Leo ^a  

^a RYERSON UNIVERSITY   (Canada)

Author keywords

Monte Carlo simulations; Near population orthogonality; Non nested tests; Nuisance parameters; Null distribution

Indexed keywords

EID: 0347611291     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00026-3     Document Type: Article

References (19)

1. Cox, D.R., 1961. Tests of separate families of hypotheses. Proceedings of the 4th Berkeley Symposium on Mathematical Statistics and Probability, vol. 1, pp. 105-123.
2. Cox, D.R., 1962. Further results on tests of separate families of hypotheses. Journal of the Royal Statistical Society, Series B 24, 406-424.
3. Dastoor, N.K., 1983. Some aspects of testing non-nested hypotheses. Journal of Econometrics 17, 213-228.
4. Davidson, R., MacKinnon, J.G., 1981. Several tests for model specification in the presence of alternative hypotheses. Econometrica 49, 781-793.
5. Davidson, R., MacKinnon, J.G., 1993. Estimation and Inference in Econometrics. Oxford University Press, New York.
6. Fisher, G.R., 1983. Tests for two separate regressions. Journal of Econometrics 21, 117-132.
7. Fisher, G.R., McAleer, M., 1981. Alternative procedures and associated tests of significance for non-nested hypotheses. Journal of Econometrics 16, 103-119.
8. Godfrey, L.G., Pesaran, M.H., 1983. Tests of non-nested regression models: small sample adjustments and Monte Carlo evidence. Journal of Econometrics 21, 133-154.
9. Kent, J., 1986. The underlying structure of nonnested hypothesis tests. Biometrica 73, 333-343.
10. Klein, R.W., 1983. Model specification tests against non-nested alternatives: comment. Econometric Reviews 2, 115-119.
11. Michelis, L., 1996. Orthogonal regression models and the distribution of non-nested tests. Journal of Quantitative Economics 12, 1-16.
12. McAleer, M., Pesaran, M.H., 1986. Statistical inference in non-nested econometric models. Applied Mathematics and Computation 272-311.
13. Mizon, G.E., Richard, J.-F., 1986. The encompassing principle and its application to testing non-nested hypotheses. Econometrica 54, 657-678.
14. Neftci, S., Sargent, T.J., 1978. A litlle bit of evidence on the natural rate hypothesis from the U.S. Journal of Monetary Economics 4, 315-319.
15. Pesaran, M.H., 1974. On the general problem of model selection. Review of Economic Studies 41, 153-171.
16. Pesaran, M.H., 1982. A critique of the proposed tests of the natural rate-rational expectations hypothesis. Economic Journal 92, 529-554.
17. Staiger, D., Stock, J.H., 1997. Instrumental variable regression with weak instruments. Econometrica 65, 557-586.
18. Statistical Sciences, S-PLUS, 1993. User's Manual, Version 3.2, Seattle, MathSoft Inc.
19. Szroeter, J., 1992. The asymptotic local structure of the cox modified likelihood-ratio statistic for testing non-nested hypotheses. Econometric Theory 8, 553-569.