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Joint tests of non-nested models and general error specifications
Authors:Anil K. Bera   Michael McAleer  M. Hashem Pesaran  Mann J. Yoon
Affiliation: a University of Illinois,b University of Western Australia,c University of California, Los Angelesd California State University, Los Angeles
Abstract:This paper is concerned with joint tests of non-nested models and simultaneous departures from homoskedasticity, serial independence and normality of the disturbance terms. Locally equivalent alternative models are used to construct joint tests since they provide a convenient way to incorporate more than one type of departure from the classical conditions. The joint tests represent a simple asymptotic solution to the “pre-testing” problem in the context of non-nested linear regression models. Our simulation results indicate that the proposed tests have good finite sample properties.
Keywords:Locally Equivalent Alternative Models  Non-Normal Errors  Non-Spherical Errors  Pre-Testing Problem  Simulation Study
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