Exact permutation tests for non-nested non-linear regression models
AbstractThis paper proposes exact distribution-free permutation tests for the specification of a non-linear regression model against one or more possibly non-nested alternatives. The new tests may be validly applied to a wide class of models, including models with endogenous regressors and lag structures. These tests build on the well-known J test developed by Davidson and MacKinnon (1981) and their exactness holds under broader assumptions than those underlying the conventional J test. The J-type test statistics are used with a randomization or Monte Carlo resampling technique which yields an exact and computationally inexpensive inference procedure. A simulation experiment confirms the theoretical results and also shows the performance of the new procedure under violations of the maintained assumptions. The test procedure developed is illustrated by an application to inflation dynamics.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 133 (2006)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Richard Luger, 2004. "Exact Permutation Tests for Non-nested Non-linear Regression Models," Emory Economics 0419, Department of Economics, Emory University (Atlanta).
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