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Non-Nested Regression Models

Non-Nested Regression Models

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  • ISBN:9781624177705
  • Editorial: Nova Science Publishers
  • Fecha de la edición:
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  • Nº Pág.:109
  • Idiomas:Ingles

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This book addresses two interrelated problems in economics modelling: non-nested hypothesis testing in econometrics, and regression models with stochastic/random regressors. The primary motivation for this book stems from the nature of econometric models. As an abstraction from reality, each statistical model consists of mathematical relationships and stochastic, behavioural assumptions. In practice, the validity of these assumptions and the adequacy of the mathematical specifications is ascertained through a series of diagnostic and specification tests. Conventional test procedures, however, fail to recognise that economic theory generally provides more than one distinct model to explain any given economic phenomenon.

Introduction; Background & Review; Asymptotic Theory & Non-Nested Tests; Non-Nested Tests & Errors-in-Variables Models; Non-Nested EVM Tests: Some Monte Carlo Evidence; More Complicated Model; Summary & Conclusions; Bibliography; Author Index; Subject Index.

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