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Bootstrap Tests of Nonnested Linear Regression Models

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Author Info
Davidson, R.
Mackinnon, J.G.

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Abstract

The J test for nonnested regression models often works badly as an asypmtotic test, but it generally works very well when bootstrapped. We provide a theroretical analysis of the J test which explains both of these phenomena. We also propose a modified version of the test which works even better than the ordinary J test when bootstrapped. Using our theoretical results to make simulation much faster, we obtain extremely accurate Monte Carlo results which demonstrate just how well the bootstraped tests perform.

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Publisher Info
Paper provided by ASSET (Association of Southern European Economic Theorists) in its series ASSET - Instituto De Economia Publica with number 170.

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Length: 24 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:inecpu:170

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Related research
Keywords: TESTS ; ECONOMETRICS;

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C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

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  1. Rao, Surekha & Ghali, Moheb & Krieg, John, 2008. "On the J-test for nonnested hypotheses and Bayesian extension," MPRA Paper 14637, University Library of Munich, Germany. [Downloadable!]
  2. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics. [Downloadable!]
  3. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 419-429. [Downloadable!] (restricted)
  4. 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). [Downloadable!]
  5. Russell Davidson & James G. MacKinnon, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Working Papers 1044, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  6. Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society. [Downloadable!]
    Other versions:
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