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Bootstrap Tests of Nonnested Linear Regression Models

Author

Listed:
  • Davidson, R.
  • Mackinnon, J. G.

Abstract

Le test J applique aux modeles de regression non emboites a souvent des performances qui sont mauvaises pour la version asymptotique du test, mais tres bonnes pour la forme bootstrap. On donne une analyse theorique qui explique les deux phenomenes. On propose une version modifiee du test qui, dans sa version bootstrap, s'avere encore plus performante que le test J. Les excellentes performances des tests bootstrap sont demontrees par des experiences Monte Carlo, qui sont d'une tres grande precision grace a nos resultats theoriques, qui permettent de reduire le temps de calcul de maniere importante.

Suggested Citation

  • Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
    • Handle: RePEc:fth:aixmeq:97a25
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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