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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.

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