In econometric analysis, non-nested models arise naturally when rival economic theories are used to explain the same phenomenon, such as unemployment, inflation or output growth. The authors examine the problem of hypothesis testing when the models under consideration are ‘non-nested’ or...

This paper suggests that a convenient score test against non- nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. It is shown that this procedure is essentially a test for the correct specification of the conditional...