Testing competing models for non-negative data with many zeros

Silva, João M. C. Santos, Tenreyro, Silvana ORCID: 0000-0002-9816-7452 and Windmeijer, Frank (2015) Testing competing models for non-negative data with many zeros. Journal of Econometric Methods, 4 (1). pp. 29-46. ISSN 2156-6674

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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 (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.

Item Type:	Article
Official URL:	http://www.degruyter.com/view/j/jem
Additional Information:	© 2014 Walter de Gruyter GmbH
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection
Date Deposited:	22 Sep 2015 13:40
Last Modified:	09 Nov 2024 08:06
URI:	http://eprints.lse.ac.uk/id/eprint/63663

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