Bootstrap \(J\) tests of nonnested linear regression models

DOI10.1016/S0304-4076(01)00146-4zbMath1016.62082MaRDI QIDQ1867735

Russell Davidson, James G. MacKinnon

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

simulationlinear regressionbootstrap testsemi-parametricnonnested hypotheses

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (17)

Exact permutation tests for non-nested non-linear regression models ⋮ A robust test for non-nested hypotheses ⋮ Inference after separated hypotheses testing: an empirical investigation for linear models ⋮ FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS ⋮ The impact of warrants introduction: sign effect or magnitude effect? ⋮ Non-nested hypothesis testing inference for GAMLSS models ⋮ Tracking interval for selecting between non-nested models: an investigation for type II right censored data ⋮ Nonnested hypothesis testing in the class of varying dispersion beta regressions ⋮ Improving robust model selection tests for dynamic models ⋮ Nonnested Testing for Competing Autoregressive Dynamic Models Estimated by Instrumental Variables ⋮ Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions ⋮ A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias ⋮ A life-cycle model with ambiguous survival beliefs ⋮ A simple test for regression specification with non-nested alternatives ⋮ Empiricial Comparison between Some Model Selection Criteria ⋮ Improving the reliability of bootstrap tests with the fast double bootstrap ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS

Cites Work

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• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing Non-Nested Models After Estimation by Instrumental Variables or Least Squares
• Some Non-Nested Hypothesis Tests and the Relations Among Them
• On the General Problem of Model Selection
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• The bootstrap and Edgeworth expansion

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