Abstract
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.
Keywords
EconometricsEconomicsSpecificationAlternative hypothesisNull hypothesis
Related Publications
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional varian...
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is th...
Consequences of prejudice against the null hypothesis.
The consequences of prejudice against accepting the null hypothesis were examined through (a) a mathematical model intended to stimulate the research-publication process and (b)...
A graphical approach to sequentially rejective multiple test procedures
Abstract For clinical trials with multiple treatment arms or endpoints a variety of sequentially rejective, weighted Bonferroni‐type tests have been proposed, such as gatekeepin...
Are all Economic Hypotheses False?
The authors develop an estimator that allows them to calculate an upper bound to the fraction of unrejected null hypotheses tested in economics journal articles that are in fact...
Publication Info
- Year
- 1981
- Type
- article
- Volume
- 49
- Issue
- 3
- Pages
- 781-781
- Citations
- 1800
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
1800
OpenAlex
Cite This
Russell Davidson,
James G. MacKinnon
(1981).
Several Tests for Model Specification in the Presence of Alternative Hypotheses.
Econometrica
, 49
(3)
, 781-781.
https://doi.org/10.2307/1911522
Identifiers
- DOI
- 10.2307/1911522