Testing the Specification of Multivariate Models in the Presence of Alternative Hypotheses

Article Abstract:

A non-nested hypothesis test is proposed to compare the specifications of univariate and multivariate nonlinear regression models. A single artificially linear regression package is found to be computationally efficient. The Einstein summation convention replaces conventional extensions of the matrix notation and is found to be useful.

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Testing Rational Expectations by the Use of Overidentifying Restrictions

Article Abstract:

A new statistics test is proposed to test the rational expectations hypothesis. A variable interpretation is proposed for normality and maximum likelihood procedures. Limitations on the normality assumption are identified. The test statistic is easily computable.

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Detecting a Shift in Location

Article Abstract:

Procedures for testing a sequence of observations of location shifts are examined. A modified test statistic is robust against 'heavy-tailed' distributions. Several alternative tests perform well.

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