Joint tests of non-nested models and general error specifications
针对非嵌套线性回归模型，提出联合检验方法，同时检验异方差、序列相关和正态性偏离，利用局部等价替代模型构建检验统计量，模拟显示有限样本性质良好。
This paper is concerned with joint tests of non-nested models and simultaneous departures from homoskedasticity, serial independence and normality of the disturbance terms. Locally equivalent alternative models are used to construct joint tests since they provide a convenient way to incorporate more than one type of departure from the classical conditions. The joint tests represent a simple asymptotic solution to the “pre-testing” problem in the context of non-nested linear regression models. Our simulation results indicate that the proposed tests have good finite sample properties.