A simple test for regression specification with non-nested alternatives

被引：7

作者：

Hagemann, Andreas ^{[1
]}

机构：

[1] Univ Illinois, Dept Econ, Urbana, IL 61801 USA

来源：

JOURNAL OF ECONOMETRICS | 2012年 / 166卷 / 02期

关键词：

Non-nested testing; Multiple testing; Bootstrap; Finite-sample size; MODEL-SPECIFICATION;

D O I：

10.1016/j.jeconom.2011.09.037

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper. I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions inherited from the J test. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：247 / 254

页数：8

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