Simulation encompassing: Testing non-nested hypotheses

Oxford Bulletin of Economics and Statistics

Volumn 70, Issue SUPPL. 1, 2008, Pages 781-806

  Lu, Maozu ^a   Mizon, Grayham E ^a   Monfardini, Chiara ^b  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 57049167604     PISSN: 03059049     EISSN: 14680084     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2008.00530.x     Document Type: Article

References (35)

1. Aneuryn-Evans, G. Deaton, A. S. (1980). 'Testing linear versus logarithmic regression models', Review of Economic Studies, Vol. 47, pp. 275 291.
2. Bontemps, C. Mizon, G. E. (2008). 'Encompassing: concepts and implementation', Oxford Bulletin of Economics and Statistics, Vol. 70, pp. 721 750.
3. Box, G. E. P. Cox, D. R. (1964). 'An analysis of transformations', Journal of the Royal Statistical Society B, Vol. 26, pp. 211 252.
4. Cox, D. R. (1961). 'Tests of separate families of hypotheses', in Neyman J. (ed.), Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, University of California Press, Berkeley, pp. 105 123.
5. Cox, D. R. (1962). 'Further results on tests of separate families of hypotheses', Journal of the Royal Statistical Society B, Vol. 24, pp. 406 424.
6. Doornik, J. A. Hansen, H. (2008). 'An omnibus test for univariate and multivariate normality', Oxford Bulletin of Economics and Statistics, Vol. 70, pp. 927 939.
7. Engle, R. F., Hendry, D. F. Richard, J.-F. (1983). 'Exogeneity', Econometrica, Vol. 51, 277 304. Reprinted in Hendry, D. F., Econometrics Alchemy or Science Blackwell Publishers, 1993 Oxford University Press, 2000 Oxford in Ericsson N. R. Irons J. S. (eds) Testing Exogeneity, Oxford University Press, Oxford, 1994.
8. Ermini, L. Hendry, D. F. (2008). 'Log income versus linear income: an application of the encompassing principle', Oxford Bulletin of Economics and Statistics, Vol. 70, pp. 807 827.
9. Gallo, G. M. Mizon, G. E. (1998a). 'Editors' introduction. Simulation methods in econometrics', Econometrics Journal, Vol. 1, pp. C(i) C(vii).
10. Gallo, G. M. Mizon, G. E. (eds) (1998b). Simulation Methods in Econometrics, Special Issue of Econometrics Journal, Blackwells, Oxford.
11. Godfrey, L. G. (1988). Misspecification Tests in Econometrics, Cambridge University Press, Cambridge.
12. Godfrey, L. G. Santos Silva, J. (2004). 'Bootstrap tests of nonnested hypotheses: some further results', Econometric Reviews, Vol. 23, pp. 325 340.
13. Gouriéroux, C. Monfort, A. (1995a). Statistics and Econometric Models, Volume 2, Testing, Confidence Regions, Model Selection, and Asymptotic Theory. Cambridge University Press, Cambridge. Originally published in French as Statistique et Modèles Économétriques, Volume 2, by Économica, Paris.
14. Gouriéroux, C. Monfort, A. (1995b). 'Testing, encompassing, and simulating dynamic econometric models', Econometric Theory, Vol. 11, pp. 195 228.
15. Gouriéroux, C. Monfort, A. (1996). Simulation-Based Econometric Methods, Oxford University Press, Oxford.
16. Gouriéroux, C., Monfort, A. Renault, E. (1993). 'Indirect inference', Journal of Applied Econometrics, Vol. 8, pp. 85 118.
17. Gouriéroux, C., Monfort, A. Trognon, A. (1983). 'Testing nested or non-nested hypotheses', Journal of Econometrics, Vol. 21, pp. 83 115.
18. Gouriéroux, C., Monfort, A. Trognon, A. (1984). 'Pseudo-maximum likelihood methods: theory', Econometrica, Vol. 52, pp. 681 700.
19. Hendry, D. F. (1984). 'Monte Carlo experimentation in econometrics', in Griliches Z. Intriligator M. D. (eds Handbook of Econometrics, Vol. 2-3, Ch. 16, North-Holland, Amsterdam, pp. 937 976.
20. Hendry, D. F. Richard, J.-F. (1982). 'On the formulation of empirical models in dynamic econometrics', Journal of Econometrics, 20, pp. 3 33. Reprinted in Granger C. W. J. (ed 1990 Modelling Economic Series. Oxford : Clarendon Press and in Hendry D. F., Econometrics: Alchemy or Science Blackwell Publishers, Oxford, 1993 Oxford University Press, 2000.
21. Hendry, D. F. Richard, J.-F. (1989). 'Recent developments in the theory of encompassing', in Cornet B. Tulkens H. (eds Contributions to Operations Research and Economics. The XXth Anniversary of CORE, MIT Press, Cambridge, MA, pp. 393 440.
22. Jarque, C. M. Bera, A. K. (1980). 'Efficient tests for normality, homoscedasticity and serial independence of regression residuals', Economics Letters, Vol. 6, pp. 255 259.
23. Lu, M. Mizon, G. E. (1988). 'Testing linear against logarithmic specifications: an application of Monte Carlo encompassing', Mimeo, Economics Department, University of Southampton. Revision Presented at the Sixth World Congress of the Econometric Society, September 1990, Barcelona.
24. MacKinnon, J. G. (1983). 'Model specification tests against non-nested alternatives', Econometric Reviews, Vol. 2, pp. 85 110.
25. Mizon, G. E. (1984). 'The encompassing approach in econometrics', in Hendry D. F. Wallis K. F. (eds Econometrics and Quantitative Economics, Basil Blackwell, Oxford, pp. 135 172.
26. Mizon, G. E. Richard, J.-F. (1986). 'The encompassing principle and its application to non-nested hypothesis tests', Econometrica, Vol. 54, pp. 657 678.
27. Monfardini, C. (1995). Simulation-based Encompassing for Non-nested Models: A Monte Carlo Study of Alternative Simulated Cox Test Statistics, Working Paper Eco. No. 95/37, European University Institute.
28. Pesaran, M. H. (1974). 'On the general problem of model selection', Review of Economic Studies, Vol. 41, pp. 153 171.
29. Pesaran, M. H. Deaton, A. S. (1978). 'Testing non-nested non-linear regression models', Econometrica, Vol. 46, pp. 677 694.
30. Pesaran, M. H. Pesaran, B. (1993). 'A simulation approach to the problem of computing Cox's statistic for testing non-nested models', Journal of Econometrics, Vol. 57, pp. 377 392.
31. Pesaran, M. H. Pesaran, B. (1995). 'A non-nested test of level-differenced versus log-differenced stationary models', Econometric Reviews, Vol. 14, pp. 213 227.
32. Ramsey, J. B. (1969). 'Tests for specification errors in classical linear least squares regression analysis', Journal of the Royal Statistical Society B, Vol. 31, pp. 350 371.
33. Spanos, A., Hendry, D. F. Reade, J. J. (2008). 'Linear vs. log-linear unit root specification: an application of mis-specification encompassing', Oxford Bulletin of Economics and Statistics, Vol. 70, pp. 829 847.
34. White, H. (1982). 'Regularity conditions for Cox's test of non-nested hypotheses', Journal of Econometrics, Vol. 19, pp. 301 318.
35. White, H. (1983). 'Non-nested models', Editor's Journal of Econometrics, Vol. 21, Special Issue, pp. 1 3.