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Bootstrap Tests of Nonnested Hypotheses: Some Further Results

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  • L. G. Godfrey
  • J. M. C. Santos Silva

Abstract

Nonnested models are sometimes tested using a simulated reference distribution for the uncentred log likelihood ratio statistic. This approach has been recommended for the specific problem of testing linear and logarithmic regression models. The general asymptotic validity of the reference distribution test under correct choice of error distributions is questioned. The asymptotic behaviour of the test under incorrect assumptions about error distributions is also examined. In order to complement these analyses, Monte Carlo results for the case of linear and logarithmic regression models are provided. The finite sample properties of several standard tests for testing these alternative functional forms are also studied, under normal and nonnormal error distributions. These regression-based variable-addition tests are implemented using asymptotic and bootstrap critical values.

Suggested Citation

  • L. G. Godfrey & J. M. C. Santos Silva, 2005. "Bootstrap Tests of Nonnested Hypotheses: Some Further Results," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 325-340.
  • Handle: RePEc:taf:emetrv:v:23:y:2005:i:4:p:325-340
    DOI: 10.1081/ETC-200040780
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    Keywords

    Bootstrap; Nonnested hypotheses; Nonnormality;

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