| Автор | Pesaran, Bahram |
| Автор | Hashem Pesaran, M. |
| Дата выпуска | 1995 |
| dc.description | This paper considersthe applicationof the simulated Cox test procedure developed in Pesaran and Pesaran (1993) to test linear versus log-linear models. The test procedure can also be applied to other generalized linear regression models such as level-difference stationary models versus the log-difference stationary models. In order to compare the small sample performanceof the proposed test with other tests extant in the literature, the paper also reports the resultsof a numberof Monte Carlo experiments using the experimental framework of Godfrey et al. (1988). The Monte Carlo results provide strong support for a simplified version of the simulatedCox test over the PE and the BM tests, but suggest that there is little to choose between the simulated Cox test and the DL test. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc. |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | Simulatedcoxtest |
| Тема | Non-Nestedhypothesis |
| Тема | Log-Differencedmodels |
| Тема | Monte Carlo Experiments |
| Название | A non-nested test of level-differenced versus log-differenced stationary models |
| Тип | research-article |
| DOI | 10.1080/07474939508800316 |
| Electronic ISSN | 1532-4168 |
| Print ISSN | 0747-4938 |
| Журнал | Econometric Reviews |
| Том | 14 |
| Первая страница | 213 |
| Последняя страница | 227 |
| Аффилиация | Pesaran, Bahram; Bank of England, University of East London |
| Аффилиация | Hashem Pesaran, M.; Trinity College |
| Выпуск | 2 |
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