Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics
From MaRDI portal
Publication:3740106
DOI10.2307/2297612zbMath0603.62120MaRDI QIDQ3740106
Publication date: 1986
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1986/276/ifdp276.pdf
finite sample properties; Monte Carlo studies; testing non-nested hypotheses; post-simulation analysis
62P20: Applications of statistics to economics
65C05: Monte Carlo methods
65C99: Probabilistic methods, stochastic differential equations
Related Items
Sample size, lag order and critical values of seasonal unit root tests, Monte Carlo response surfaces: A comparative approach, A comparison of nonnested tests for misspecified models using the method of approximate slopes, The significance of testing empirical non-nested models