IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Exact Permutation Tests for Non-nested Non-linear Regression Models

  • Richard Luger

This paper proposes exact distribution-free permutation tests for the specification of a non-linear regression model against one or more possibly non-nested alternatives. The new tests may be validly applied to a wide class of models, including models with endogenous regressors and lag structures. These tests build on the well-known J test developed by Davidson and MacKinnon (1981) and their exactness holds under broader assumptions than those underlying the conventional J test. The J-type test statistics are used with a randomization or Monte Carlo resampling technique which yields an exact and computationally inexpensive inference procedure. A simulation experiment confirms the theoretical results and also shows the performance of the new procedure under violations of the maintained assumptions. The test procedure developed is illustrated by an application to inflation dynamics.

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.

File URL:
Download Restriction: no

Paper provided by Department of Economics, Emory University (Atlanta) in its series Emory Economics with number 0419.

in new window

Date of creation: Nov 2004
Date of revision:
Handle: RePEc:emo:wp2003:0419
Contact details of provider: Web page:

More information through EDIRC

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.:

as in new window
  1. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
  2. 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.
  3. Jordi Galí & Mark Gertler, 1998. "Inflation dynamics: A structural econometric analysis," Economics Working Papers 341, Department of Economics and Business, Universitat Pompeu Fabra.
  4. 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.
  5. 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.
  6. 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.
  7. McCabe, B. P. M., 1989. "Misspecification tests in econometrics based on ranks," Journal of Econometrics, Elsevier, vol. 40(2), pages 261-278, February.
  8. DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 2005-03, Universite de Montreal, Departement de sciences economiques.
  9. Kennedy, Peter E, 1995. "Randomization Tests in Econometrics," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 85-94, January.
  10. Kurmann, Andre, 2005. "Quantifying the uncertainty about the fit of a new Keynesian pricing model," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1119-1134, September.
  11. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips Curve," Working Papers 1026, Queen's University, Department of Economics.
  12. Michelis, Leo, 1999. "The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors," Journal of Econometrics, Elsevier, vol. 93(2), pages 369-401, December.
  13. Dufour, J.M. & Roy, R., 1984. "Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness," Cahiers de recherche 8412, Universite de Montreal, Departement de sciences economiques.
  14. 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.
  15. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  16. Ma, Adrian, 2002. "GMM estimation of the new Phillips curve," Economics Letters, Elsevier, vol. 76(3), pages 411-417, August.
  17. Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, vol. 51(2), pages 355-65, March.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:emo:wp2003:0419. 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: (Sue Mialon)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.