A simple test for regression specification with non-nested alternatives

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.

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Year of publication:	2012
Authors:	Hagemann, Andreas
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 166.2012, 2, p. 247-254
Publisher:	Elsevier
Subject:	Non-nested testing \| Multiple testing \| Bootstrap \| Finite-sample size

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010574095