Testing non-nested models for non-negative data with many zeros
|Speaker:||Joao M.C. Santos Silva, University of Essex|
|Date: ||Friday 29 November 2013|
|Time: ||16.15 - 17.45|
|Location: ||Bateman Lecture Theatre, Building One, Streatham Campus|
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.