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? Davidson and Mackinnon J test for nonnested regressions          =

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? User must define the data matrix with the following line:        =

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?        NAMELIST         ; X = ... $                              =

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? User must define the data matrix with the following line:        =

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?        NAMELIST         ; Z = ... $                              =

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? User's dependent variable is Y.  Change the following line       =

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?        CREATE           ; Y = the dependent variable $           =

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                REGRESS         ; Lhs = y ; Rhs = X ; Keep = yfx $

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? In this regression, we examine the coefficient on yfx

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                REGRESS         ; Lhs = y ; Rhs = Z, yfx $

                REGRESS         ; Lhs = y ; Rhs = Z ; Keep = yfz$

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? In this regression, we examine the coefficient on yfz

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                REGRESS         ; Lhs = y ; Rhs = X, yfz $