Testing competing models for non-negative data with many zeros

• Autor(a) principal: Silva, João Santos
• Data de Publicação: 2015
• Outros Autores: Tenreyro, Silvana, Windmeijer, Frank
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.5/27623
• topic: Health Economics; International Trade; Non-nested Hypotheses; C Test; P Test

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 (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.