Econometrica: Mar 1983, Volume 51, Issue 2

Testing Non-Nested Models After Estimation by Instrumental Variables or Least Squares

https://doi.org/0012-9682(198303)51:2<355:TNMAEB>2.0.CO;2-4
p. 355-366

L. G. Godfrey

Differing opinions about the specification of econometric relationships often lead to a situation in which there are competing non-nested models. This paper is concerned with the problem of testing such models. It is first assumed that tests are based upon instrumental variable estimates (so that the models can be alternative versions of an equation in a system). The tests so derived are then specialized to the case in which ordinary least squares is an appropriate estimator.

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