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Bootstrap J tests of nonnested linear regression models

Listed author(s):
  • Davidson, Russell
  • MacKinnon, James G.

Le test J applique aux modeles de regression non emboites a souvent des performances qui sont mauvaises pour la version asymptotique du test, mais tres bonnes pour la forme bootstrap. On donne une analyse theorique qui explique les deux phenomenes. On propose une version modifiee du test qui, dans sa version bootstrap, s'avere encore plus performante que le test J. Les excellentes performances des tests bootstrap sont demontrees par des experiences Monte Carlo, qui sont d'une tres grande precision grace a nos resultats theoriques, qui permettent de reduire le temps de calcul de maniere importante.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 109 (2002)
Issue (Month): 1 (July)
Pages: 167-193

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Handle: RePEc:eee:econom:v:109:y:2002:i:1:p:167-193
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Russell Davidson & James G. MacKinnon, 1980. "Some Non-Nested Hypothesis Tests and the Relations Among Them," Working Papers 409, Queen's University, Department of Economics.
  2. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  3. 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.
  4. Russell Davidson & James G. MacKinnon, 1996. "The Size and Power of Bootstrap Tests," Working Papers 932, Queen's University, Department of Economics.
  5. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
  6. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
  7. Michelis, Leo, 1999. "The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors," Journal of Econometrics, Elsevier, vol. 93(2), pages 369-401, December.
  8. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  9. Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, vol. 51(2), pages 355-365, March.
  10. 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.
  11. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
  12. M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
  13. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
  14. Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
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