Selección de modelos no anidados. Un estudio de Monte Carlo
En esta nota se realiza un estudio comparativo sobre dos criterios de selección de modelos no anidados, en concreto, el test J propuesto por Davidson y Mackinnon, y el test JA presentado por Fisher y McAleer. Mediante un ejercicio de simulación basado en un experimento de Monte Carlo se analiza si estos dos contrastes son sensibles ante cambios en la varianza del término de perturbación y en el tamaño muestral del Proceso Generador de Datos. This paper is concerned with the comparison of the J test and the JA test are very sensitive to values of the variance of Data Generating Process; the power of the JA test is low relative to those of the J test; and, finally, the estimated power and the estimatez size of both tests are also sensitive to simple size.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 7 (1997)
Issue (Month): (Junio)
|Contact details of provider:|| Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN|
Phone: (34) 983 423320
Fax: (34) 983 184568
Web page: http://www.revista-eea.net
More information through EDIRC
|Order Information:|| Web: http://www.revista-eea.net Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pesaran, M. Hashem, 1987. "Global and Partial Non-Nested Hypotheses and Asymptotic Local Power," Econometric Theory, Cambridge University Press, vol. 3(01), pages 69-97, February.
- Russell Davidson & James G. MacKinnon, 1980.
"Some Non-Nested Hypothesis Tests and the Relations Among Them,"
409, Queen's University, Department of Economics.
- Russell Davidson & James G. Mackinnon, 1982. "Some Non-Nested Hypothesis Tests and the Relations Among Them," Review of Economic Studies, Oxford University Press, vol. 49(4), pages 551-565.
- Davidson, Russell & MacKinnon, James G, 1981.
"Several Tests for Model Specification in the Presence of Alternative Hypotheses,"
Econometric Society, vol. 49(3), pages 781-793, May.
- Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
- 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.
- Gordon Fisher & Michael McAleer, 1981.
"Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses,"
420, Queen's University, Department of Economics.
- 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.
- Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-694, 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.
- M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
- 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.
- Pesaran, M H, 1982. "Comparison of Local Power of Alternative Tests of Non-Nested Regression Models," Econometrica, Econometric Society, vol. 50(5), pages 1287-1305, September.
When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:7_2_7. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.