Show simple item record

dc.contributor.authorPesaran, M. Hashemen_GB
dc.contributor.authorWeeks, Melvynen_GB
dc.date.accessioned2004-06-16T16:05:55Z
dc.date.available2004-06-16T16:05:55Z
dc.date.created1999-09en_GB
dc.date.issued2004-06-16T16:05:55Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/429
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/429
dc.description.abstractIn econometric analysis, non-nested models arise naturally when rival economic theories are used to explain the same phenomenon, such as unemployment, inflation or output growth. The authors examine the problem of hypothesis testing when the models under consideration are �non-nested� or belong to �separate� families of distributions in the sense that none of the individual models may be obtained form the remaining, either by imposition of parameter restrictions or through a limiting process. Although the primary focus is on non-nested hypothesis testing, the authors briefly discuss the problem of model selection and the differences and similarities between the two approaches. By using the linear regression model as a convenient framework, the authors examine three broad approaches to non-nested hypothesis testing: the modified (centred) long-likelihood ratio procedure, the comprehensive models approach, and the encompassing procedure. Finally, they consider a number of practical problems which arise in the application of non-nested tests to non-linear models such as the probit and logit qualitative response models.en_GB
dc.format.extent559552 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C1, C20, C52en_GB
dc.subject.otherNon-nested hypotheses, Model selection, Cox's test, Encompassing, Stochastic simulation, Kullback-Leibler divergence measureen_GB
dc.titleNon-nested Hypothesis Testing: An Overviewen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5077


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record