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Selección de modelos no anidados. Un estudio de Monte Carlo

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  • Pons Novell, Jordi

    (Universidad de Barcelona)

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    Abstract

    En esta nota se realiza un estudio comparativo sobre dos criterios de selección de modelos no anidados, en concreto, el test J propuesto por Davidson y Mackinnon, y el test JA presentado por Fisher y McAleer. Mediante un ejercicio de simulación basado en un experimento de Monte Carlo se analiza si estos dos contrastes son sensibles ante cambios en la varianza del término de perturbación y en el tamaño muestral del Proceso Generador de Datos. This paper is concerned with the comparison of the J test and the JA test are very sensitive to values of the variance of Data Generating Process; the power of the JA test is low relative to those of the J test; and, finally, the estimated power and the estimatez size of both tests are also sensitive to simple size.

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    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 7 (1997)
    Issue (Month): (Junio)
    Pages: 131-139

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    Handle: RePEc:lrk:eeaart:7_2_7

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    Related research

    Keywords: Model selection criteria; non-nested models; simulation; J test and JA test;

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    References

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    1. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers, Queen's University, Department of Economics 420, Queen's University, Department of Economics.
    2. Davidson, Russell & MacKinnon, James G, 1982. "Some Non-Nested Hypothesis Tests and the Relations among Them," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(4), pages 551-65, October.
    3. Pesaran, M H, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 41(2), pages 153-71, April.
    4. Pesaran, M H, 1982. "Comparison of Local Power of Alternative Tests of Non-Nested Regression Models," Econometrica, Econometric Society, Econometric Society, vol. 50(5), pages 1287-1305, September.
    5. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 21(1), pages 133-154, January.
    6. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, Econometric Society, vol. 46(3), pages 677-94, May.
    7. Pesaran, M. Hashem, 1987. "Global and Partial Non-Nested Hypotheses and Asymptotic Local Power," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 3(01), pages 69-97, February.
    8. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers, Queen's University, Department of Economics 378, Queen's University, Department of Economics.
    9. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, Elsevier, vol. 48(2), pages 107-112, May.
    10. Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, Econometric Society, vol. 51(2), pages 355-65, March.
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