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Fast Double Bootstrap Tests Of Nonnested Linear Regression Models

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  • Russell Davidson
  • James MacKinnon

Abstract

It has been shown in previous work that bootstrapping the J test for nonnested linear regression models dramatically improves its finite-sample performance. We provide evidence that a more sophisticated bootstrap procedure, which we call the fast double bootstrap, produces a very substantial further improvement in cases where the ordinary bootstrap does not work as well as it might. This FDB procedure is only about twice as expensive as the usual single bootstrap.

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File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-120015384
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 21 (2002)
Issue (Month): 4 ()
Pages: 419-429

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Handle: RePEc:taf:emetrv:v:21:y:2002:i:4:p:419-429

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Related research

Keywords: Nonnested test; Bootstrap test; J test; JEL Classification: C12; C15; C20;

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References

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  1. Russell Davidson & James G. MacKinnon, 2000. "Improving the Reliability of Bootstrap Tests," Working Papers 995, Queen's University, Department of Economics.
  2. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  3. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
  4. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  5. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," ASSET - Instituto De Economia Publica 170, ASSET (Association of Southern European Economic Theorists).
  6. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  7. 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.
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Citations

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Cited by:
  1. Han, Xiaoyi & Lee, Lung-fei, 2013. "Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 250-271.
  2. Seojeong Lee, 2014. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators," Discussion Papers 2014-02, School of Economics, The University of New South Wales.
  3. Sun, Yixiao & Kim, Min Seong, 2009. "k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models," University of California at San Diego, Economics Working Paper Series qt9gn6n5mr, Department of Economics, UC San Diego.
  4. James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Papers 573, Queen's University, Department of Economics.
  5. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
  6. Qian, Hang, 2011. "Sampling Variation, Monotone Instrumental Variables and the Bootstrap Bias Correction," MPRA Paper 32634, University Library of Munich, Germany.
  7. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  8. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
  9. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  10. Bernard FINGLETON & Silvia PALOMBI, 2013. "The Wage Curve Reconsidered: Is It Truly An 'Empirical Law Of Economics'?," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 38, pages 49-92.

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