Search Results - subject:"non nested models"

Simulation based selection of competing structural econometric models

Li, Tong - Centre for Microdata Methods and Practice (CEMMAP) - 2006

bi-directional and applicable to non-nested models which are both possibly misspecified. The asymptotic distribution of … superconsistent with a rate at n. The test is bi-directional and applicable to non-nested models which are both possibly misspeci ed … procedure. JEL Classi cation: C12, C15, C52 Keywords: Lack-of- t, Model selection tests, Non-nested models, Simulated mean …

Persistent link: https://www.econbiz.de/10005811466

Panaretos, John; Psarakis, Stelios; Xekalaki, Evdokia; … - Volkswirtschaftliche Fakultät, … - 2005

The paper considers the problem of selecting one of two not necessarily nested competing regression models based on comparative evaluations of their abilities in each of two different issues: The first pertains to viewing the problem as a “best-fitting” model determination problem in the...

Persistent link: https://www.econbiz.de/10005619543

Identifying the determinants of foreign direct investment: a data-specific model selection approach

Reschenhofer, Erhard; Schilde, Michael; Oberecker, Eva; … - In: Statistical Papers 53 (2012) 3, pp. 739-752

Persistent link: https://www.econbiz.de/10010558287

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and...

Persistent link: https://www.econbiz.de/10008642500

Model selection and tests for non nested contingent valuation models: An assessment of methods

Genius, Margarita; Strazzera, Elisabetta - 2001

Distributional assumptions are crucial in the estimation of the value of public projects assessed by means of contingent valuation analyses, and it would seem obvious that tests for model specification should play an important part in the statistical analysis. It can be observed, though, that...

Persistent link: https://www.econbiz.de/10011608796

Testing non-nested semiparametric models: An application to engel curves specification

López, Juan Mora; González, Miguel A. Delgado - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1996

This paper proposes a test statistic for discriminating between two partly non linear regression models whose parametric components are non-nested. The statistic has the form of a J-test based on a parameter which artificially nests the null and alternative hypotheses. We study in detail the...

Persistent link: https://www.econbiz.de/10008557130

Selección de modelos no anidados. Un estudio de Monte Carlo

Pons Novell, Jordi - In: Estudios de Economía Aplicada 7 (1997) Junio, pp. 131-139

En esta nota se realiza un estudio comparativo sobre dos criterios de selección de modelos no anidados, en concreto, el test J propuesto por Davidson y Mackinnon, y el test JA presentado por Fisher y McAleer. Mediante un ejercicio de simulación basado en un experimento de Monte Carlo se...

Persistent link: https://www.econbiz.de/10005736978