Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production.

In this paper, the authors provide some asymptotic results for the J-type test on non-nested hypotheses proposed by Davidson and MacKinnon (1981), in the context of I(1) time series.

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Year of publication:	1997
Authors:	Chao, J.C. ; Swanson, N.R.
Institutions:	Department of Economics, Pennsylvania State University
Subject:	ECONOMETRICS \| ECONOMIC MODELS \| REGRESSION ANALYSIS \| TIME SERIES

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Series:	Pennsylvania State - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	51 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005478685