论文信息 - A small sample test for non-nested regression models

A small sample test for non-nested regression models

Abstract In this note it is demonstrated that a test for non-nested regression models proposed by Fisher and McAleer (1981) has the Student's t-distribution in small samples. It is also demonstrated that the large sample test of Davidson and MacKinnon (1980, 1981) favours the more parsimonious model specification as compared with the test of Fisher and McAleer.

Michael McAleer | M. McAleer

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