Fast Double Bootstrap Tests Of Nonnested Linear Regression Models
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.
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Volume (Year): 21 (2002)
Issue (Month): 4 ()
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- Russell Davidson & James G. MacKinnon, 2001.
"Bootstrap Tests: How Many Bootstraps?,"
1036, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1981.
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- 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.
- Davidson, Russell & MacKinnon, James G., 2002.
"Bootstrap J tests of nonnested linear regression models,"
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Elsevier, vol. 109(1), pages 167-193, July.
- Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
- Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," ASSET - Instituto De Economia Publica 170, ASSET (Association of Southern European Economic Theorists).
- Davidson, Russell & MacKinnon, James G., 1999.
"The Size Distortion Of Bootstrap Tests,"
Cambridge University Press, vol. 15(03), pages 361-376, June.
- 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.
- Russell Davidson & James G. MacKinnon, 2000. "Improving the Reliability of Bootstrap Tests," Working Papers 995, Queen's University, Department of Economics.
- McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
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