Empirical Power Comparison Of Non-Nested Tests For The Evm: Some Monte Carlo Evidence
Recently, Bodla and Bhatti (2007) revisited Davidson and MacKinnon’s (2002) well-known J test and noted that thought the test is simple to compute but lack small sample exact test computation properties. This paper is one of the attempts to compute a new version of the J test and compare its power performance with the various existing tests to see the relative strength of our test to be called as an approximately most powerful test. The main objective of this paper is to study Monte Carlo evidence on finite sample performance of the now modified non-nested tests of mismeasured regression models in EVM, Errors in Variables Models, setting to see if the power performance of the new test.
Volume (Year): 5 (2008)
Issue (Month): 2 ()
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References listed on IDEAS
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- Neil R. Ericsson, 1986.
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- Neil R. Ericsson, 1986. "Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics," International Finance Discussion Papers 276, Board of Governors of the Federal Reserve System (U.S.).
- Davidson, R. & Mackinnon, J.G., 1997.
"Bootstrap Tests of Nonnested Linear Regression Models,"
ASSET - Instituto De Economia Publica
170, ASSET (Association of Southern European Economic Theorists).
- Davidson, Russell & MacKinnon, James G., 2002. "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, Elsevier, vol. 109(1), pages 167-193, July.
- Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
- Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.
- Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
- Haslag, Joseph H & Hein, Scott E, 1990. "Economic Activity and Two Monetary Base Measures," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 672-676, November.
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