Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions

DOI10.1007/BF02789707zbMath1090.62067MaRDI QIDQ2488404

A. Aznar, M. I. Ayuda

Publication date: 24 May 2006

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02789707

zbMATH Keywords

Davidson and McKinnon J-test; Fisher and McAleerand JA-test

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62J05: Linear regression; mixed models

62F03: Parametric hypothesis testing

62F40: Bootstrap, jackknife and other resampling methods

62G09: Nonparametric statistical resampling methods

65C05: Monte Carlo methods

Cites Work

• Bootstrapping J-type tests for non-nested regression models
• Alternative procedures and associated tests of significance for non- nested hypotheses
• Cointegration in partial systems and the efficiency of single-equation analysis
• Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
• Bootstrap \(J\) tests of nonnested linear regression models
• Bootstrapping Time Series Regressions with Integrated Processes
• Optimal Inference in Cointegrated Systems
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Bootstrap tests: how many bootstraps?
• TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
• Co-Integration and Error Correction: Representation, Estimation, and Testing