Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production
J.C. Chao and N.R. Swanson
,
1
(
4
)
Macroeconomic Dynamics
42-72
March
2000
Abstract
In the context of I(1) time series, we provide some asymptotic results for the Davidson-MacKinnon J-type test. We examine both the case where our regressor sets x1t and x2t are not cointegrated, and the case where they are.