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Size and power of non-nested hypothesis tests and their bootstrap versions

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  • Maria-Isabel Ayuda
  • Antonio Aznar

Abstract

In this paper the behaviour of various non-nested hypothesis testing procedures are studied, namely the J and JA tests and the same bootstrap-adjusted tests, using graphical methods. These methods are the P value plot, the P value discrepancy plot and the size-power graph. The size and power of the four tests are compared for all the possible nominal sizes and not only for 1% or 5%. It is found that the best test is the bootstrap-adjusted J test, given that its size is close to the nominal, independently of the nominal size, whilst it has a higher power than the JA test.

Suggested Citation

  • Maria-Isabel Ayuda & Antonio Aznar, 2001. "Size and power of non-nested hypothesis tests and their bootstrap versions," Applied Economics Letters, Taylor & Francis Journals, vol. 8(10), pages 649-653.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:10:p:649-653
    DOI: 10.1080/13504850110052807
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