| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0049 |
| 来源ID | Technical Working Paper 0049 |
| Alternative Nonnested Specification Tests of Time Series Investment Models | |
| Ben S. Bernanke; Henning Bohn; Peter C. Reiss | |
| 发表日期 | 1985-06-01 |
| 出版年 | 1985 |
| 语种 | 英语 |
| 摘要 | This paper develops and compares nonnested hypothesis tests for linear regression models with first-order serially correlated errors. It extends the nonnested testing procedures of Pesaran, Fisher and McAleer, and Davidson and MacKinnon, and compares their performance on four conventional models of aggregate investment demand using quarterly U.S. investment data from 1951:1 to 1983:IV. The data and the nonnested hypothesis tests initially indicate that no model is correctly specified, and that the tests are occasionally intransitive in their assessments. Before rejecting these conventional models of investment demand, we go on to investigate the small sample properties of these different nonnested test procedures through a series of monte carlo studies. These investigations demonstrate that when there is significant serial correlation, there are systematic finite sample biases in the nominal size and power of these test statistics. The direction of the bias is toward rejection of the null model, although it varies considerably by the type of test and estimation technique. After revising our critical levels for this finite sample bias, we conclude that the accelerator model of equipment investment cannot be rejected by any of the other alternatives. |
| 主题 | Financial Economics ; Econometrics |
| URL | https://www.nber.org/papers/t0049 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558865 |
| 推荐引用方式 GB/T 7714 | Ben S. Bernanke,Henning Bohn,Peter C. Reiss. Alternative Nonnested Specification Tests of Time Series Investment Models. 1985. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0049.pdf（1813KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
