Bootstrap Tests of Nonnested Hypotheses: Some Further Results
Leslie Godfrey and
João Santos Silva ()
Econometric Reviews, 2005, vol. 23, issue 4, 325-340
Nonnested models are sometimes tested using a simulated reference distribution for the uncentred log likelihood ratio statistic. This approach has been recommended for the specific problem of testing linear and logarithmic regression models. The general asymptotic validity of the reference distribution test under correct choice of error distributions is questioned. The asymptotic behaviour of the test under incorrect assumptions about error distributions is also examined. In order to complement these analyses, Monte Carlo results for the case of linear and logarithmic regression models are provided. The finite sample properties of several standard tests for testing these alternative functional forms are also studied, under normal and nonnormal error distributions. These regression-based variable-addition tests are implemented using asymptotic and bootstrap critical values.
Keywords: Bootstrap; Nonnested hypotheses; Nonnormality (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:23:y:2005:i:4:p:325-340
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