Joint tests of non-nested models and general error specifications |
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| Authors: | Anil K. Bera Michael McAleer M. Hashem Pesaran Mann J. Yoon |
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| Affiliation: | a University of Illinois,b University of Western Australia,c University of California, Los Angelesd California State University, Los Angeles |
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| 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. |
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| Keywords: | Locally Equivalent Alternative Models Non-Normal Errors Non-Spherical Errors Pre-Testing Problem Simulation Study |
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