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Bootstrap Tests of Nonnested Hypotheses: Some Further Results

Godfrey, L G and Santos Silva, Joao M C (2005) 'Bootstrap Tests of Nonnested Hypotheses: Some Further Results.' Econometric Reviews, 23 (4). pp. 325-340. ISSN 0747-4938

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Abstract

Nonnested models are sometimes tested using a simulated reference distribution for the uncentred log likelihood ratio statistic. This approach has been recommended for the specific problem of testing linear and logarithmic regression models. The general asymptotic validity of the reference distribution test under correct choice of error distributions is questioned. The asymptotic behaviour of the test under incorrect assumptions about error distributions is also examined. In order to complement these analyses, Monte Carlo results for the case of linear and logarithmic regression models are provided. The finite sample properties of several standard tests for testing these alternative functional forms are also studied, under normal and nonnormal error distributions. These regression-based variable-addition tests are implemented using asymptotic and bootstrap critical values.

Item Type: Article
Uncontrolled Keywords: Bootstrap; Nonnested hypotheses; Nonnormality
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 13:11
Last Modified: 07 Aug 2012 13:11
URI: http://repository.essex.ac.uk/id/eprint/3572

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