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Bootstrap Tests of Nonnested Linear Regression Models

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  • Russell Davidson
  • James G. MacKinnon

Abstract

The J test for nonnested regression models often works badly as an asymptotic test, but it generally works very well when bootstrapped. We provide a theoretical 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 bootstrapped tests perform.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_954.pdf
File Function: First version 1997
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 954.

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Date of creation: Sep 1997
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Handle: RePEc:qed:wpaper:954

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For corrections or technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).

Related research

Keywords: J test; Nonnested hypothesis test; Bootstrap; Regression;

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References

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  1. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
  2. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
  3. Michelis, Leo, 1995. "The Null Distribution of Nonnested Tests with Nearly Orthogonal Regression Models," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1177-1178, October.
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Citations

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Cited by:
  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.
  2. Russell Davidson & James Mackinnon, 2006. "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers halshs-00439247, HAL.
  3. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  4. 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.
  5. 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).
  6. 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.

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