FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS

Russell Davidson and James MacKinnon

Econometric Reviews, 2002, vol. 21, issue 4, 419-429

Abstract: It has been shown in previous work that bootstrapping the J test for nonnested linear regression models dramatically improves its finite-sample performance. We provide evidence that a more sophisticated bootstrap procedure, which we call the fast double bootstrap, produces a very substantial further improvement in cases where the ordinary bootstrap does not work as well as it might. This FDB procedure is only about twice as expensive as the usual single bootstrap.

Keywords: Nonnested test; Bootstrap test; J test; JEL Classification: C12; C15; C20 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (27)

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DOI: 10.1081/ETC-120015384

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