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

共 50 条

[31] BLaC wavelets and non-nested wavelets
Bonneau, GP
[J]. TUTORIALS ON MULTIRESOLUTION IN GEOMETRIC MODELLING, 2002, : 147 - 163
[32] Adaptive non-nested multigrid methods
Bittencourt, ML
Douglas, CC
Feijóo, RA
[J]. ENGINEERING COMPUTATIONS, 2002, 19 (1-2) : 158 - 176
[33] Non-nested testing of spatial correlation
Delgado, Miguel A.
Robinson, Peter M.
[J]. JOURNAL OF ECONOMETRICS, 2015, 187 (01) : 385 - 401
[34] NON-NESTED MODELS - EDITORS INTRODUCTION
WHITE, H
[J]. JOURNAL OF ECONOMETRICS, 1983, 21 (01) : 1 - 3
[35] Tests of non-nested regression models - Some results on small sample behaviour and the bootstrap
Godfrey, LG
[J]. JOURNAL OF ECONOMETRICS, 1998, 84 (01) : 59 - 74
[36] COMPARISON OF LOCAL-POWER OF ALTERNATIVE TESTS OF NON-NESTED REGRESSION-MODELS
PESARAN, MH
[J]. ECONOMETRICA, 1982, 50 (05) : 1287 - 1305
[37] An extension of Kelejian's J-test for non-nested spatial models
Kelejian, Harry H.
Piras, Gianfranco
[J]. REGIONAL SCIENCE AND URBAN ECONOMICS, 2011, 41 (03) : 281 - 292
[38] Testing nested and non-nested periodically integrated autoregressive models
Franses, PH
McAleer, M
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1997, 26 (06) : 1461 - 1475
[39] Power in non-nested models: a comparative study
Ayuda, MI
Aznar, A
[J]. APPLIED ECONOMICS LETTERS, 2000, 7 (07) : 483 - 486
[40] COMPARING NON-NESTED LINEAR-MODELS
EFRON, B
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1984, 79 (388) : 791 - 803

← 1 2 3 4 5 →