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Testing Multiple Non‐Nested Factor Demand Systems
Author(s) -
Manera Matteo,
McAleer Michael
Publication year - 2005
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.2005.00214.x
Subject(s) - univariate , multivariate statistics , econometrics , context (archaeology) , reset (finance) , factor (programming language) , nested set model , set (abstract data type) , economics , computer science , statistics , mathematical economics , mathematics , data mining , financial economics , paleontology , relational database , biology , programming language
This article explains how to obtain straightforward extensions of the most popular univariate non‐nested statistics, and of the RESET‐test, to a multivariate context and examines how to use these tests to compare alternative factor demand systems. The empirical application involves the classical Berndt–Khaled KLEM data set. A statistically adequate specification is determined for each competing factor demand system. The empirical results are interpreted for each system, the models are compared on the basis of multivariate paired and joint non‐nested procedures and practical indications about what to expect if these tests are applied to alternative factor demand specifications are provided.