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.
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Volume (Year): 7 (1997)
Issue (Month): (Junio)
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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.:
- M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
- 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.
- 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.
- 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.
- 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.
- 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.
- Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
- 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.
- 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.
- 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.
- 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.
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