Several Tests for Model Specification in the Presence of Alternative Hypotheses
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Several procedures are proposed for testing the specification of an econometric model in the presence of one or more other models which purport to explain the same phenomenon. These procedures are shown to be closely related, but not identical, to the non-nested hypothesis tests recently proposed by Pesaran and Deaton [7], and to have similar asymptotic properties.. They are remarkably simple both conceptually and computationally, and, unlike earlier techniques, they may be used to test against several alternative models simultaneously. Some empirical results are presented which suggest that the ability of the tests to reject false hypotheses is likely to be rather good in practice.
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Using J-tests, we rejected the GDP specification in favor of the original specifications in Table 1 regressions 2-4.
“Using J-tests first proposed by Davidson and MacKinnon (1981), we rejected the GDP specification in favor of the original specifications in Table 1 regressions 2-4.”
From The Limits of Delegation: Veto Players, Central Bank Independence, and the Credibility of Monetary Policy (2003) · cites this paper as Davidson and MacKinnon (1981)
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Research works printed but not linked: 8
- Atkinson, A.C. "A Method for Discriminating Between Models," Journal of the Royal Statistical Society, Series 6, 32 (1970), 323-344.
- Cox, D.R.: "Tests of Separate Families of Hypotheses," Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1. Berkeley: University of California Press, 1961.
- "Further Results on Tests of Separate Families of Hypotheses," Journal of the Royal Statistical Society, Series 6, 24 (1962), 406-424.
- Durbin, J.: "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, 38 (1970), 410-421.
- Lovell, M.C.: "Seasonal Adjustment of Economic Time Series," Journal of the American Statistical Association, 58 (1963), 993-1010.
- Pesaran, M.H.: "On the General Problem of Model Selection," Review [7] of Economic Studies, 41 (1974), 153-171.
- Pesaran, M.H., and A.S. Deaton: "Testing Non-nested Nonlinear Regression Models," Econometrica, 46 (1978), 677-694.
- Sawa, T.: "Information Criteria for Discriminating Among Alternative Regression Models," Econometrica, 46 (1978), 1273-1291.
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“Using the Davidson–MacKinnon test for comparison of non-nested models (Davidson and MacKinnon 1981), we compared models in which CPF was entered as a single continuous outcome with those in which CPF was modeled using B-splines.”
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- Authors
- Davidson, R., & MacKinnon, J. G.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1981-05
- Volume
- 49
- Issue
- 3
- Pages
- 781
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2143288831
- Cited by
- 1,747
- References
- 0
- Citations by year
- 2026: 13 · 2025: 18 · 2024: 13 · 2023: 21 · 2022: 17 · 2021: 21 · 2020: 28 · 2019: 44 · 2018: 29 · 2017: 35 · 2016: 34 · 2015: 38 · 2014: 53 · 2013: 46 · 2012: 49
- FWCI
- 35.40
- Type
- journal article
- Language
- en
- Open access
- green
- ageconsearch.umn.edu
- Locations
- Econometrica (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- AgEcon Search (University of Minnesota, USA) (submittedVersion, cc-by-nc-nd)
- AgEcon Search (University of Minnesota, USA)
- Topics
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Applications
- Keywords
- specification testing, asymptotic properties, econometric model selection
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