The behaviour of linear model selection tests under globally non-nested hypotheses

MaRDI QIDQ3580332zbMATH OpenFDO

Authors Mitchell Watnik, W. O. Johnson

Publication date 12 August 2010

zbMATH Keywords

powerasymptotic relative efficiencymultiple correlations\(J\)-test\(JA\)-testseparate hypotheses

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Recommendations

• NONNESTED LINEAR MODEL SELECTION REVISITED
• The distributions of the \(J\) and Cox non-nested tests in regression models with weakly correlated regressors
• Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
• Statistical inference in non-nested econometric models
• Alternative procedures and associated tests of significance for non- nested hypotheses

Cited in

(6)

• NONNESTED LINEAR MODEL SELECTION REVISITED
• Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
• Linear signed rank test for model selection
• Consistency of Bayes factor for nonnested model selection when the model dimension grows
• Statistical inference in non-nested econometric models
• Alternative procedures and associated tests of significance for non- nested hypotheses

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