Lu, Maozu; Mizon, Grayham E.; Monfardini, Chiara - In: Oxford Bulletin of Economics and Statistics 70 (2008) s1, pp. 781-806
This paper considers simulation-based procedures to compute the Wald encompassing and the Cox test statistics for non-nested models. These simulation estimation procedures are applied to both the encompassing contrast and its covariance matrix in the case of a Wald non-nested test statistic, and...