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Model specification tests against non-nested alternatives (with discussion). (English) Zbl 0604.62116
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 D. R. Cox [Tests of separate families of hypotheses. Proc. 4th Berkeley Sympos. math. statist. Probab. 1, 105-123 (1961); J. R. Stat. Soc., Ser. B 24, 406-424 (1962; Zbl 0131.358)] 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.

MSC:
62P20 Applications of statistics to economics
62J02 General nonlinear regression
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