Davidson
Publications
This paper investigates a representative landlord's profit-maximization problem in a stationary economy. The landlord must decide on the quality of his housing units at the time of construction, maintenance expenditure over the life of the building, and the time of demolition or rehabilitation. The analysis can be applied to other problems with similar economic structure, notably equipment and durable good maintenance, overhaul and replacement.
No abstract is available for this item.
No abstract is available for this item.
This paper investigates the small-sample properties of several forms of the Lagrange Multiplier test. We find that alternative variants of the LM test, which can be easily computed from artificial linear regressions, perform very differently in small samples. One variant appears to be acceptably close to its asymptotic distribution; the other can yield quite misleading inferences. These results suggest that care should be taken when choosing which form of LM test to use in applied work.
This paper discusses several statistical techniques which can be used to test the validity of a possibly nonlinear and multivariate regression model, using the information provided by estimating one or more alternative models on the same set of data. The techniques we propose can be regarded as alternative implementations of Cox's idea for non-nested hypothesis testing; under the null hypothesis, all of the test statistics are asymptotically the same random variable. For the univariate linear regression case, our test and Pesaran's has asymptotic relative efficiency of unity for local alternatives. Finally, we present sampling experiments for univariate linear models which show that the small-sample performance of our J test and Pesaran's test can be quite different.
No abstract is available for this item.
No abstract is available for this item.
Several procedures are proposed for testing the specification of an econometric model when one or more models purport to explain the same phenomenon. These procedures are closely related, although not identical, to non-nested hypothesis tests proposed by Pesaran and Deaton, and have similar asymptotic properties. They are simple conceptually and computationally, and unlike earlier techniques, may be used to test against several alternative models simultaneously. Some empirical results suggest that ability of the tests to reject false hypotheses is likely to be good in practice.
No abstract is available for this item.
No abstract is available for this item.