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Bootstrap Tests of Nonnested Linear Regression Models

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Author Info
Russell Davidson
James G. MacKinnon

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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://www.econ.queensu.ca/working_papers/papers/qed_wp_954.pdf
File Format: application/pdf
File Function: First version 1997
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Publisher 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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Related research
Keywords: J test Nonnested hypothesis test Bootstrap Regression

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Find related papers by JEL classification:
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

Cited by:
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  1. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics. [Downloadable!]
  2. 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)
  3. 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:
  4. 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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This page was last updated on 2008-11-13.


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