Re: [Gretl-users] compare regression models
Kehl Dániel schrieb:
Dear list-members,
I have the task to compare regression models. The models are not
nested. For the simplest case let's consider the two simple
regressions
ols y 0 x1 ols y 0 x2
Is it possible to test if x2 is a significant better regressor of y
than x1 is? Should I use an F-test to test this hypothesis? Isn't
something like this already bulit in in gretl?
I guess the relevant term is "encompassing test". IIRC the basic idea is
to estimate the union of the models, (here: ols y 0 x1 x2) and test if
one of the competing models emerges as a valid reduction of the union model.
good luck,
sven