Effect of small-sample adjustments for Cox test under non-nested linear regression models

Taisuke Otsu ()
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Taisuke Otsu: University of Wisconsin-Madison

Economics Bulletin, 2004, vol. 3, issue 28, 1-4

Abstract: We consider the effect of Godfrey and Pesaran's (1983) two small-sample adjustments for the Cox (1961, 1962) non-nested test statistic under linear regression models. Based on convenient representations of the test statistics in terms of the correlation coefficients, we compare the confidence contours of the test statistics.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2004-08-10
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