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help for nnest
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J test and Cox-Pesaran test for non nested OLS models

        nnest varlist


Description

nnest computes the J test and Cox-Pesaran test for non nested OLS models.  The
tests are discussed in W.H. Greene Econometric Analisys, 4th edition, (Prentice
Hall International Editions) pages 302-305.

nnest requires that you run an OLS regression to define model 1 (M1). Such
regression can be weighted and it can contain time series operators. However,
it can neither contain factor-variable operators nor any function that contains
a comma (such as tin, inrange, inlist, etc.).  nnest then constructs the
competing model 2 (M2) by collecting the regressors listed in varlist and
applies the same options included in the OLS regression defining M1 to the
auxiliary regressions for the tests. Finally, nnest returns a series of scalars
and macros in return list.

I am grateful for the comments received from Kit Baum (kit.baum@bc.edu) in
upgrading the syntax for nnest and the usual caveat applies.

Options

nnest has no options.

 Example

    . nnest cons
    . nnest cons gdp
    . nnest cons L(-2/3).gdp

 References

W.H. Greene Econometric Analisys, 4th edition, (Prentice Hall International
    Editions) pages 302-305.

 Author

        Gregorio Impavido, IMF, USA
        gimpavido@imf.org