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st: nnest command


From   Maritza Sotomayor <maritzasotomayor@yahoo.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: nnest command
Date   Wed, 2 May 2007 14:48:15 -0700 (PDT)

Dear Statalist members:
Could somebody help me to interpretate the result of -nnest- test?.
There is not much about this test and I don't know which model is
better:


. nnest iitt lpdit ltarifa lavgdp ldkl ldcap ldedu ltc lrydcost
lroyalsale (ltarifa lavgdp  ldcap ldedu ltc lrydcost lroyalsale
lavgestb ldpcgdp ladvsale)

<> 
M1 : Y = a + Xb with X = [lpdit ltarifa lavgdp ldkl ldcap ldedu ltc 
lrydcost lroyalsale]

M2 : Y = a + Zg with Z = [ltarifa lavgdp ldcap ldedu ltc lrydcost 
lroyalsale lavgestb ldpcgdp ladvsales]

  <>J test for non-nested models <> 
H0 : M1  t(880)      7.39163
H1 : M2  p-val       0.00000 <> 

H0 : M2  t(879)      0.72921
H1 : M1  p-val       0.46606 <> 
Cox-Pesaran test for non-nested models <> 
H0 : M1  N(0,1)    -26.60836
H1 : M2  p-val       0.00000 <> 

H0 : M2  N(0,1)     -0.78036
H1 : M1  p-val       0.21759

What I understand is that the model 2 is superior to model 1 because
in both tests, J and Cox-Pesaran  the p-val is significant. Is that
correct?
Thanks
Maritza

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