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.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Length: 24 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:inecpu:170
Contact details of provider: Postal: ASSET - Instituto De Economia Publica Facultad de Ciencias Economicas Y Empresariales . Avenida Lehendakari Aguirre, 83. 48015 Bilbao. Spain Phone: + 33 - 4 91 14 07 70 Fax: + 33 - 4 91 90 02 27 Email: Web page: http://www.vcharite.univ-mrs.fr/ASSET/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)