Joint tests of non-nested models and general error specifications
- 1 January 1992
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 11 (1) , 97-117
- https://doi.org/10.1080/07474939208800223
Abstract
This paper is concerned with joint tests of non-nested models and simultaneous departures from homoskedasticity, serial independence and normality of the disturbance terms. Locally equivalent alternative models are used to construct joint tests since they provide a convenient way to incorporate more than one type of departure from the classical conditions. The joint tests represent a simple asymptotic solution to the “pre-testing” problem in the context of non-nested linear regression models. Our simulation results indicate that the proposed tests have good finite sample properties.Keywords
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