Testing non-nested models for non-negative data with many zeros
Economics
| Speaker: | Joao M.C. Santos Silva, University of Essex |
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| Date: | Friday 29 November 2013 |
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| Time: | 16.15 - 17.45 |
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| Location: | Bateman Lecture Theatre, Building One, Streatham Campus |
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Further details
In economic applications it is often the case that the variate of interest is non-negative and its distribution has a mass-point at zero. Many regression strategies have been proposed to deal with data of this type but, although there has been a long debate in the literature on the appropriateness of different models, formal statistical tests to choose between the competing specifications are not often used in practice. We use the non-nested hypothesis testing framework of Davidson and MacKinnon (1981, Several tests for model specifi
cation in the presence of alternative hypotheses, Econometrica, 49, 781-793) to develop a novel and simple regression-based speci
fication test that can be used to discriminate between these models.
