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Bootstrap Tests of Nonnested Linear Regression Models

Author

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

Abstract

The J test for nonnested regression models often works badly as an asypmtotic test, but it generally works very well when bootstrapped. We provide a theroretical analysis of the J test which explains both of these phenomena. We also propose a modified version of the test which works even better than the ordinary J test when bootstrapped. Using our theoretical results to make simulation much faster, we obtain extremely accurate Monte Carlo results which demonstrate just how well the bootstraped tests perform.

Suggested Citation

  • 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).
    • Handle: RePEc:fth:inecpu:170
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    JEL classification:

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

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