Bootstrap Tests Based on Goodness-of-Fit Measures for Nonnested Hypotheses in Regression Models

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Bootstrap Tests Based on Goodness-of-Fit Measures for Nonnested Hypotheses in Regression Models

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Jeong, Jinook

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Jinook Jeong

Abstract

This paper utilizes the bootstrap to construct tests using the measures for goodness-of-fit for nonnested regression models. The bootstrap enables us to compute the statistical significance of the differences in the measures and to formally test on nonnested regression models. The bootstrap tests that this paper proposes are expected to show better finite sample properties since they do not have accumulated errors in the computation process. Moreover, the bootstrap tests remove the possibility of inconsistent test results that the previous tests suffer from. Because the bootstrap tests only evaluate if a model has a significantly higher explanatory power than the other model, there is no possibility for inconsistent results. This study presents Monte Carlo simulation results to compare the finite sample properties of the proposed tests with the previous tests such as Cox test and J-test.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9789.

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Date of creation: Apr 2006
Date of revision: Mar 2007
Handle: RePEc:pra:mprapa:9789

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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Kinal, Terrence & Lahiri, Kajal, 1984. "A Note on "Selection of Regressors."," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 625-29, October. [Downloadable!] (restricted)
Ebbeler, Donald H, 1975. "On the Probability of Correct Model Selection Using the Maximum R2 Choice Criterion," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(2), pages 516-20, June. [Downloadable!] (restricted)

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