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Characterization of the exact finite-sample distribution of a routine test statistic for non-nested regressions

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  • Szroeter, J.

Abstract

This paper obtains a complete characterization of the previously unknown exact finite-sample distribution of a routine statistic for testing a linear regression function against a non-nested alternative. Simple approximations to the exact distribution are investigated.

Suggested Citation

  • Szroeter, J., 1996. "Characterization of the exact finite-sample distribution of a routine test statistic for non-nested regressions," Statistics & Probability Letters, Elsevier, vol. 29(1), pages 9-14, August.
    • Handle: RePEc:eee:stapro:v:29:y:1996:i:1:p:9-14
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Szroeter, Jerzy, 1992. "The Asymptotic Local Structure of the Cox Modified Likelihood-Ratio Statistic for Testing Non-Nested Hypotheses," Econometric Theory, Cambridge University Press, vol. 8(4), pages 553-569, December.
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