Manera, Matteo - In: Empirical Economics 27 (2002) 4, pp. 657-686
, paired and joint univariate non-nested tests (e.g. Davidson-MacKinnon's J and P tests, Bera-McAleer test and Barten …-McAleer test) have been discussed at length, whereas virtually no attention has been paid to multivariate non-nested tests. In this … paper we show how multivariate non-nested tests can be derived from their univariate counterparts, and we apply these tests …