Monday, May 20, 2013

Testing non-nested models for non-negative data with many zeros

João Santos Silva
(University of Essex)

Abstract: In economic applications it is often the case that the variate of interest is non-negative and its distribution has a mass-point at zero. Many regression strategies have been proposed to deal with data of this type but, although there has been a long debate in the literature on the appropriateness of different models, formal statistical tests to choose between the competing specifications are not often used in practice. We use the non-nested hypothesis testing framework of Davidson and MacKinnon (1981), “Several tests for model specification in the presence of alternative hypotheses”, Econometrica, 49, 781-793, to develop a novel and simple regression-based specification test that can be used to discriminate between these models.

Notice: Jointly organized with ISEG2S
Monday, May 20, 2013
Time: 11h30
Room: Sala Delta, Edificio Quelhas, ISEG