A NONNESTED APPROACH TO TESTING CONTINUOUS-TIME MODELS AGAINST DISCRETE ALTERNATIVES

Authors
CHAMBERS MJ
Citation
Mj. Chambers, A NONNESTED APPROACH TO TESTING CONTINUOUS-TIME MODELS AGAINST DISCRETE ALTERNATIVES, Journal of econometrics, 57(1-3), 1993, pp. 319-343
Citations number
21
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
57
Issue
1-3
Year of publication
1993
Pages
319 - 343
Database
ISI
SICI code
0304-4076(1993)57:1-3<319:ANATTC>2.0.ZU;2-D
Abstract
This paper considers a test of two competing models when one is formul ated in continuous time, as a system of stochastic differential equati ons, and the other is formulated in discrete time, as a system of nonl inear equations. Since the competing hypotheses are nonnested, the app ropriate formulae are derived for the implementation of the Cox test. This approach is illustrated with an application to the demand for foo d and related products in the United Kingdom.