A simple test for regression specification with non-nested alternatives

Andreas Hagemann ()

Journal of Econometrics, 2012, vol. 166, issue 2, 247-254

Abstract: In this paper, I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions inherited from the J test.

Keywords: Non-nested testing; Multiple testing; Bootstrap; Finite-sample size (search for similar items in EconPapers)
JEL-codes: C12 C15 C52 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:166:y:2012:i:2:p:247-254

DOI: 10.1016/j.jeconom.2011.09.037

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