Comparison of Local Power of Alternative Tests of Non-Nested Regression Models

DOI10.2307/1911874zbMath0553.62062OpenAlexW2059329569MaRDI QIDQ3347135

M. Hashem Pesaran

Publication date: 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911874

zbMATH Keywords

asymptotic powerlocal powersmall sample propertiesJ testF testCox's non-nested testtesting non-nested regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Related Items (14)

On exact and asymptotic tests of non-nested models ⋮ TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ The significance of testing empirical non-nested models ⋮ Statistical inference in non-nested econometric models ⋮ The J-test as a Hausman specification test ⋮ Post-\(J\) test inference in non-nested linear regression models ⋮ A monte carlo study of tests for non-nested models estimated by generalized method of moments ⋮ On the comprehensive method of testing non-nested regression models ⋮ Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method ⋮ Some aspects of testing non-nested hypotheses ⋮ Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria ⋮ Bootstrapping J-type tests for non-nested regression models ⋮ A comparison of nonnested tests for misspecified models using the method of approximate slopes ⋮ Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence

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