Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics

DOI10.2307/2297612zbMATH Open0603.62120OpenAlexW2083394257MaRDI QIDQ3740106FDOQ3740106

Authors: Neil R. Ericsson 

Publication date: 1986

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1986/276/ifdp276.pdf

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zbMATH Keywords

finite sample propertiesMonte Carlo studiestesting non-nested hypothesespost-simulation analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cited In (8)

• Title not available (Why is that?)
• Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
• Monte Carlo simulation for econometricians
• A comparison of nonnested tests for misspecified models using the method of approximate slopes
• The significance of testing empirical non-nested models
• Sample size, lag order and critical values of seasonal unit root tests
• Monte Carlo response surfaces: A comparative approach
• Finite sample properties and asymptotic efficiency of Monte Carlo tests

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