Tests Of Non-nested Linear-regression Models Subject To Linear Restrictions

Elsevier Science Sa Lausanne
Publication Type:
Journal Article
Economics Letters, 1988, 27 (4), pp. 341 - 348
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The standard methods for testing between non-nested or separate regression models require that the models have the same dependent variable. If the models are subject to non-homogeneous linear restrictions, substituting out these restrictions results in a redefinition of the dependent variable before estimation and the standard results will not apply. We derive a Wald-type test statistic to cater for this situation.
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