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Several Tests for Model Specification in the Presence of Alternative Hypotheses

Russell Davidson and James G. MacKinnon
Econometrica
Vol. 49, No. 3 (May, 1981), pp. 781-793
Published by: The Econometric Society
DOI: 10.2307/1911522
Stable URL: http://www.jstor.org/stable/1911522
Page Count: 13
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Several Tests for Model Specification in the Presence of Alternative Hypotheses
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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 nonnested 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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