Chambers, Marcus J (1993) A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics, 57 (1-3). pp. 319-343. DOI https://doi.org/10.1016/0304-4076(93)90069-h
Chambers, Marcus J (1993) A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics, 57 (1-3). pp. 319-343. DOI https://doi.org/10.1016/0304-4076(93)90069-h
Chambers, Marcus J (1993) A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics, 57 (1-3). pp. 319-343. DOI https://doi.org/10.1016/0304-4076(93)90069-h
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 Faculty of Social Sciences > Economics, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 08 Jul 2012 09:33 |
| Last Modified: | 18 Aug 2022 11:10 |
| URI: | http://repository.essex.ac.uk/id/eprint/2757 |