Alternative approaches to testing non-nested models with autocorrelated disturbances
- 1 January 1990
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 19 (10) , 3619-3644
- https://doi.org/10.1080/03610929008830401
Abstract
Since departures from the classical assumptions regarding the disturbances in a linear tegression model arise frequently in empirical application, deveral computationally Straightforward procedutes are presented in this paper for testiog non-nested models when the disturbances of these models follow first- or higher-order autoregressive processes. Anempirical example is used to illustrate how the procedures may be used to test competing Keynesian and New Classical non-nested models of unemployment for the U.S using annual time series data for 1955-85.Keywords
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