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ISEG 2S | Testing non-nested models for non-negative data with many zeros

20 Mai das 11:30 às 11:31
Quelhas 6 | Floor 3 | Delta Room

 

Speaker






João Santos Silva








University of Essex






Presentation






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






Jointly with:

CEMAPRE Seminars

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.

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ORGANIZING TEAM

This seminars series is organized by

Margarida Abreu

(ECO),

Raquel M. Gaspar

(FIN/MG) and

Isabel Proença

(QM).


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