Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap

DOI10.1016/S0304-4076(97)00079-1zbMath0886.62117MaRDI QIDQ1379915

Leslie G. Godfrey

Publication date: 10 May 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

non-nested modelmultiple alternatives

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09)

Related Items (18)

Exact permutation tests for non-nested non-linear regression models ⋮ A robust test for non-nested hypotheses ⋮ NONNESTED LINEAR MODEL SELECTION REVISITED ⋮ FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS ⋮ On the asymptotic validity of a bootstrap method for testing nonnested hypotheses ⋮ The impact of warrants introduction: sign effect or magnitude effect? ⋮ AUTOREG: A computer program library for dynamic econometric models with autoregressive errors ⋮ Non-nested hypothesis testing inference for GAMLSS models ⋮ Nonnested hypothesis testing in the class of varying dispersion beta regressions ⋮ Improving robust model selection tests for dynamic models ⋮ The robustness, reliabiligy and power of heteroskedasticity tests ⋮ Nonnested Testing for Competing Autoregressive Dynamic Models Estimated by Instrumental Variables ⋮ Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions ⋮ Encompassing tests when no model is encompassing ⋮ A simple test for regression specification with non-nested alternatives ⋮ Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models ⋮ Bootstrap \(J\) tests of nonnested linear regression models ⋮ Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results

Uses Software

• bootstrap

Cites Work

• Unnamed Item
• Bootstrapping J-type tests for non-nested regression models
• Alternative procedures and associated tests of significance for non- nested hypotheses
• Regularity conditions for Cox's test of non-nested hypotheses
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• Bootstrapping regression models
• The significance of testing empirical non-nested models
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• On the General Problem of Model Selection
• THE SIZE DISTORTION OF BOOTSTRAP TESTS

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