Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics

DOI10.2307/2297612zbMath0603.62120OpenAlexW2083394257MaRDI QIDQ3740106

Neil R. Ericsson

Publication date: 1986

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1986/276/ifdp276.pdf

zbMATH Keywords

finite sample propertiesMonte Carlo studiestesting non-nested hypothesespost-simulation analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

Monte Carlo response surfaces: A comparative approach ⋮ The significance of testing empirical non-nested models ⋮ Sample size, lag order and critical values of seasonal unit root tests ⋮ A comparison of nonnested tests for misspecified models using the method of approximate slopes

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