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
收藏
页码：247 / 254
页数：8
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