Testing non-nested models for non-negative data with many zeros∗
نویسندگان
چکیده
In economic applications it is often the case that the variate of interest is nonnegative 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. JEL codes: C12, C52
منابع مشابه
Hurdle, Inflated Poisson and Inflated Negative Binomial Regression Models for Analysis of Count Data with Extra Zeros
In this paper, we propose Hurdle regression models for analysing count responses with extra zeros. A method of estimating maximum likelihood is used to estimate model parameters. The application of the proposed model is presented in insurance dataset. In this example, there are many numbers of claims equal to zero is considered that clarify the application of the model with a zero-inflat...
متن کاملUsing MODEA and MODM with Different Risk Measures for Portfolio Optimization
The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. The study is based on a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Conventional DEA models assume non-negative data for inputs and outputs. However, many of these data take the negative value, therefore we propose the MeanSharp-βRisk (MShβR) model...
متن کاملStatistical Inference in Autoregressive Models with Non-negative Residuals
Normal residual is one of the usual assumptions of autoregressive models but in practice sometimes we are faced with non-negative residuals case. In this paper we consider some autoregressive models with non-negative residuals as competing models and we have derived the maximum likelihood estimators of parameters based on the modified approach and EM algorithm for the competing models. Also,...
متن کاملA new method for fuzzification of nested dummy variables by fuzzy clustering membership functions and its application in financial economy
In this study, the aim is to propose a new method for fuzzification of nested dummy variables. The fuzzification idea of dummy variables has been acquired from non-linear part of regime switching models in econometrics. In these models, the concept of transfer functions is like the notion of fuzzy membership functions, but no principle or linguistic sentence have been used for inputs. Consequen...
متن کاملTracking Interval for Doubly Censored Data with Application of Plasma Droplet Spread Samples
Doubly censoring scheme, which includes left as well as right censored observations, is frequently observed in practical studies. In this paper we introduce a new interval say tracking interval for comparing the two rival models when the data are doubly censored. We obtain the asymptotic properties of maximum likelihood estimator under doubly censored data and drive a statistic for testing the ...
متن کامل