Kapetanios, George; Weeks, Melvyn - School of Economics and Finance, Queen Mary - 2003
We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non …-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which … study represents the first comparison of the properties of bootstrap and simulation-based tests applied to non-nested tests …