Bootstrap Tests of Nonnested Linear Regression Models

Russell Davidson and James MacKinnon

ASSET - Instituto De Economia Publica from ASSET (Association of Southern European Economic Theorists)

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.

Keywords: TESTS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1997
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Bootstrap J tests of nonnested linear regression models (2002)
Working Paper: Bootstrap Tests of Nonnested Linear Regression Models (1997)
Working Paper: Bootstrap Tests of Nonnested Linear Regression Models (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:inecpu:170

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