A simple test for regression specification with non-nested alternatives
In this paper, I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions inherited from the J test.
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- Dastoor, Naorayex K., 1981. "A note on the interpretation of the Cox procedure for non-nested hypotheses," Economics Letters, Elsevier, vol. 8(2), pages 113-119.
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