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

DOI10.1016/S0304-4076(97)00079-1MaRDI QIDQ1379915zbMATH OpenFDO

Authors L. 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

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

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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Alternative procedures and associated tests of significance for non- nested hypotheses
• Bootstrapping J-type tests for non-nested regression models
• Bootstrapping regression models
• On the General Problem of Model Selection
• Regularity conditions for Cox's test of non-nested hypotheses
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Some results on the Glejser and Koenker tests for heteroskedasticity
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• The significance of testing empirical non-nested models

Cited in

(26)

• The impact of warrants introduction: sign effect or magnitude effect?
• On the asymptotic validity of a bootstrap method for testing nonnested hypotheses
• Significance testing in nonparametric regression based on the bootstrap.
• A solution to non-monotonic power of the Wald test in non-linear models
• NONNESTED LINEAR MODEL SELECTION REVISITED
• Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results
• Bootstrap Tests of Nonnested Hypotheses: Some Further Results
• Exact permutation tests for non-nested non-linear regression models
• Using bootstrap methods to obtain non-normality robust Chow prediction tests.
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• A robust test for non-nested hypotheses
• FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS
• A simple test for regression specification with non-nested alternatives
• On the Power of Bootstrapped Specification Tests
• AUTOREG: A computer program library for dynamic econometric models with autoregressive errors
• Encompassing tests when no model is encompassing
• Bootstrap J tests of nonnested linear regression models
• Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions
• Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
• Non-nested hypothesis testing inference for GAMLSS models
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• Improving robust model selection tests for dynamic models
• Bootstrap non-parametric significance test
• Nonnested hypothesis testing in the class of varying dispersion beta regressions
• The robustness, reliabiligy and power of heteroskedasticity tests
• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

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• bootstrap

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