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A simple test for regression specification with non-nested alternatives

✍ Scribed by Andreas Hagemann

Book ID: 113700387
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 395 KB
Volume: 166
Category: Article
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.09.037

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## Abstract In this paper it is shown that a convenient score test against non‐nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. This is essentially a test for the correct specification of the conditional distribution of the vari