IDEAS home Printed from https://ideas.repec.org/a/taf/emetrv/v21y2002i4p419-429.html
   My bibliography  Save this article

Fast Double Bootstrap Tests Of Nonnested Linear Regression Models

Author

Listed:
  • Russell Davidson
  • James MacKinnon

Abstract

It has been shown in previous work that bootstrapping the J test for nonnested linear regression models dramatically improves its finite-sample performance. We provide evidence that a more sophisticated bootstrap procedure, which we call the fast double bootstrap, produces a very substantial further improvement in cases where the ordinary bootstrap does not work as well as it might. This FDB procedure is only about twice as expensive as the usual single bootstrap.

Suggested Citation

  • Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
    • Handle: RePEc:taf:emetrv:v:21:y:2002:i:4:p:419-429
    DOI: 10.1081/ETC-120015384
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-120015384
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1081/ETC-120015384?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    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. Davidson, Russell & MacKinnon, James, 2001. "Bootstrap Tests: How Many Bootstraps?," Queen's Economics Department Working Papers 273506, Queen's University - Department of Economics.
    3. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
    4. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(3), pages 361-376, June.
    5. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    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. Davidson, Russell & MacKinnon, James G., 2002. "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, Elsevier, vol. 109(1), pages 167-193, July.
    8. 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.
    9. MacKinnon, James & Davidson, Russel, 2000. "Improving the Reliability of Bootstrap Tests," Queen's Economics Department Working Papers 273421, Queen's University - Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lee, Seojeong, 2016. "Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators," Journal of Econometrics, Elsevier, vol. 192(1), pages 86-104.
    2. repec:isu:genstf:201201010800003618 is not listed on IDEAS
    3. Davidson, Russell & MacKinnon, James, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Queen's Economics Department Working Papers 273514, Queen's University - Department of Economics.
    4. Yazid Dissou & Reza Ghazal, 2010. "Energy Substitutability in Canadian Manufacturing Econometric Estimation with Bootstrap Confidence Intervals," The Energy Journal, , vol. 31(1), pages 121-148, January.
    5. Patrick Richard, 2014. "Bootstrap tests in linear models with many regressors," Cahiers de recherche 14-06, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    6. Sun, Yixiao & Kim, Min Seong, 2009. "k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models," University of California at San Diego, Economics Working Paper Series qt9gn6n5mr, Department of Economics, UC San Diego.
    7. Moheb Ghali & John M. Krieg & K. Surekha Rao, 2011. "A Bayesian Extension of the J-Test for Non-Nested Hypotheses," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 53-72.
    8. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
    9. MacKinnon, James, 2007. "Bootstrap Hypothesis Testing," Queen's Economics Department Working Papers 273603, Queen's University - Department of Economics.
    10. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    11. Leonardo Becchetti & Stefania Di Giacomo, 2007. "The Unequalizing Effects Of Ict On Economic Growth," Metroeconomica, Wiley Blackwell, vol. 58(1), pages 155-194, February.
    12. MacKinnon, James, 2006. "Applications of the Fast Double Bootstrap," Queen's Economics Department Working Papers 273459, Queen's University - Department of Economics.
    13. Davidson, Russell & Trokić, Mirza, 2020. "The fast iterated bootstrap," Journal of Econometrics, Elsevier, vol. 218(2), pages 451-475.
    14. MacKinnon, James, 2007. "Bootstrap Hypothesis Testing," Queen's Economics Department Working Papers 273603, Queen's University - Department of Economics.
    15. Bernard Fingleton & Simonetta Longhi, 2013. "The Effects Of Agglomeration On Wages: Evidence From The Micro-Level," Journal of Regional Science, Wiley Blackwell, vol. 53(3), pages 443-463, August.
    16. Giacomini, Raffaella & Politis, Dimitris N. & White, Halbert, 2013. "A Warp-Speed Method For Conducting Monte Carlo Experiments Involving Bootstrap Estimators," Econometric Theory, Cambridge University Press, vol. 29(3), pages 567-589, June.
    17. Qian, Hang, 2011. "Sampling Variation, Monotone Instrumental Variables and the Bootstrap Bias Correction," MPRA Paper 32634, University Library of Munich, Germany.
    18. Han, Xiaoyi & Lee, Lung-fei, 2013. "Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 250-271.
    19. James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Paper 573, Economics Department, Queen's University.
    20. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
    21. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
    22. Bernard FINGLETON & Silvia PALOMBI, 2013. "The Wage Curve Reconsidered: Is It Truly An 'Empirical Law Of Economics'?," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 38, pages 49-92.
    23. Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
    24. Ou Bianling & Long Zhihe & Li Wenqian, 2019. "Bootstrap LM Tests for Spatial Dependence in Panel Data Models with Fixed Effects," Journal of Systems Science and Information, De Gruyter, vol. 7(4), pages 330-343, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Davidson, Russell & MacKinnon, James G., 2002. "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, Elsevier, vol. 109(1), pages 167-193, July.
    2. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
    3. Jin, Fei & Lee, Lung-fei, 2013. "Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 590-616.
    4. Bernard Fingleton & Silvia Palombi, 2016. "Bootstrap J -Test for Panel Data Models with Spatially Dependent Error Components, a Spatial Lag and Additional Endogenous Variables," Spatial Economic Analysis, Taylor & Francis Journals, vol. 11(1), pages 7-26, March.
    5. Hagemann, Andreas, 2012. "A simple test for regression specification with non-nested alternatives," Journal of Econometrics, Elsevier, vol. 166(2), pages 247-254.
    6. Francisco Cribari-Neto & Sadraque E.F. Lucena, 2015. "Nonnested hypothesis testing in the class of varying dispersion beta regressions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 967-985, May.
    7. 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.
    8. Debarsy, Nicolas & Ertur, Cem, 2019. "Interaction matrix selection in spatial autoregressive models with an application to growth theory," Regional Science and Urban Economics, Elsevier, vol. 75(C), pages 49-69.
    9. MacKinnon, James, 2007. "Bootstrap Hypothesis Testing," Queen's Economics Department Working Papers 273603, Queen's University - Department of Economics.
    10. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics.
    11. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
    12. MacKinnon, James, 2007. "Bootstrap Hypothesis Testing," Queen's Economics Department Working Papers 273603, Queen's University - Department of Economics.
    13. Emmanuel Flachaire, 2000. "Les méthodes du bootstrap dans les modèles de régression," Économie et Prévision, Programme National Persée, vol. 142(1), pages 183-194.
    14. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
    15. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597.
    16. West, Kenneth D., 2001. "Encompassing tests when no model is encompassing," Journal of Econometrics, Elsevier, vol. 105(1), pages 287-308, November.
    17. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    18. MacKinnon, James G., 2011. "Thirty Years of Heteroskedasticity-Robust Inference," Queen's Economics Department Working Papers 273816, Queen's University - Department of Economics.
    19. Chiu, Sung Nok & Wang, Ling, 2009. "Homogeneity tests for several Poisson populations," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4266-4278, October.
    20. Webb, Matthew D., 2014. "Reworking Wild Bootstrap Based Inference for Clustered Errors," Queen's Economics Department Working Papers 274640, Queen's University - Department of Economics.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:21:y:2002:i:4:p:419-429. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.