A simulation approach to the problem of computing Cox's statistic for testing nonnested models

DOI10.1016/0304-4076(93)90072-DzbMath0769.62080OpenAlexW1977304581MaRDI QIDQ1801424

Bahram Pesaran, M. Hashem Pesaran

Publication date: 18 July 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90072-d

zbMATH Keywords

stochastic simulationprobit modelslogit modelsCox statistictests of nonnested hypothesesunivariate binary choice models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (17)

TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ The significance of testing empirical non-nested models ⋮ Inference after separated hypotheses testing: an empirical investigation for linear models ⋮ Testing non-nested log-linear models with pseudo estimator ⋮ On the asymptotic validity of a bootstrap method for testing nonnested hypotheses ⋮ A non-nested test of level-differenced versus log-differenced stationary models ⋮ THE POWER OF THE FEDERAL RESERVE CHAIR ⋮ Simulated conditional moment tests ⋮ An illustration of Cox's non-nested testing procedure for logit and probit models ⋮ Nonnested Testing for Competing Autoregressive Dynamic Models Estimated by Instrumental Variables ⋮ Bootstrap Tests of Nonnested Hypotheses: Some Further Results ⋮ Variable selection and transformation in linear regression models ⋮ A note about model selection and tests for non-nested contingent valuation models ⋮ Testing for non-nested conditional moment restrictions using unconditional empirical likelihood ⋮ TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD ⋮ Goodness-of-link tests for multivariate regression models ⋮ Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results

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