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Effect of small-sample adjustments for Cox test under non-nested linear regression models

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  • Taisuke Otsu

    (University of Wisconsin-Madison)

Abstract

We consider the effect of Godfrey and Pesaran's (1983) two small-sample adjustments for the Cox (1961, 1962) non-nested test statistic under linear regression models. Based on convenient representations of the test statistics in terms of the correlation coefficients, we compare the confidence contours of the test statistics.

Suggested Citation

  • Taisuke Otsu, 2004. "Effect of small-sample adjustments for Cox test under non-nested linear regression models," Economics Bulletin, AccessEcon, vol. 3(28), pages 1-4.
    • Handle: RePEc:ebl:ecbull:eb-04c10018
    as

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    References listed on IDEAS

    as
    1. M. H. Pesaran, 1974. "On the General Problem of Model Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 41(2), pages 153-171.
    2. Hall, A. D., 1983. "Confidence contours for two test statistics for non-nested regression models," Journal of Econometrics, Elsevier, vol. 21(1), pages 155-160, January.
    3. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
    4. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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