Ghali, Moheb; Krieg, John M.; Rao, K. Surekha - The Indian Econometric Society - TIES
It is a common practice to use the Davidson and MacKinnon's J-test in empirical applications to test non-nested model specifications. However, when the alternate specifications fit the data well the J- test may fail to distinguish between the true and false models: the J-test will either reject,...