Research Repository

A nonnested approach to testing continuous time models against discrete alternatives

Chambers, MJ (1993) 'A nonnested approach to testing continuous time models against discrete alternatives.' Journal of Econometrics, 57 (1-3). 319 - 343. ISSN 0304-4076

Full text not available from this repository.

Abstract

This paper considers a test of two competing models when one is formulated in continuous time, as a system of stochastic differential equations, and the other is formulated in discrete time, as a system of nonlinear equations. Since the competing hypotheses are nonnested, the appropriate formulae are derived for the implementation of the Cox test. This approach is illustrated with an application to the demand for food and related products in the United Kingdom. © 1993.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 08 Jul 2012 09:33
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2757

Actions (login required)

View Item View Item