Exact Tests of a Model Against Non-Nested Alternatives

This note applies the results of Milliken and Graybill (1970) to non-nested regression models. A test proposed by Fisher and McAleer (1981) is shown to have the t-distribution in small samples. An extended version of that test is developed for testing a model against several non-linear non-nested alternatives, and is shown to have the central F-distribution.

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Year of publication:	1981
Authors:	McAleer, Michael
Institutions:	Economics Department, Queen's University

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005688444