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Bootstrapping J-type tests for non-nested regression models

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  • Yanqin Fan
  • Qi Li
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3YVD01D-17/2/d73093116e7ea69d06792d5b818d2787
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 48 (1995)
    Issue (Month): 2 (May)
    Pages: 107-112

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    Handle: RePEc:eee:ecolet:v:48:y:1995:i:2:p:107-112

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
    2. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
    3. Davidson, Russell & MacKinnon, James G, 1982. "Some Non-Nested Hypothesis Tests and the Relations among Them," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 551-65, October.
    4. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
    5. Pesaran, M H, 1982. "Comparison of Local Power of Alternative Tests of Non-Nested Regression Models," Econometrica, Econometric Society, vol. 50(5), pages 1287-1305, September.
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    Cited by:
    1. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
    2. BHATTI, M.Ishaq & BODLA, Mahmud, A., 2008. "Empirical Power Comparison Of Non-Nested Tests For The Evm: Some Monte Carlo Evidence," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2).
    3. Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.
    4. Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
    5. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics.
    6. Doug Rolph, 1999. "Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy," Computing in Economics and Finance 1999 853, Society for Computational Economics.
    7. Pons Novell, Jordi, 1997. "Selección de modelos no anidados. Un estudio de Monte Carlo," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 7, pages 131-139, Junio.

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