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Econometric Reviews Volume 21, 2002 - Issue 4
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Original Articles

FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS

Russell Davidson GREQAM, Centre de la Vieille Charité, 2 rue de la Charité, Marseille, 13002, France; Department of Economics, Queen's University, Kingston, Ontario, K7L 3N6, Canada
&
James G. MacKinnon Department of Economics, Queen's University, Kingston, Ontario, K7L 3N6, Canada
Pages 419-429 | Published online: 06 Feb 2007

REFERENCES

  • Davidson , R. and MacKinnon , J. G. 1981 . Several Tests for Model Specification in the Presence of Alternative Hypotheses . Econometrica , 49 : 781 – 793 .
  • McAleer , M. 1995 . The Significance of Testing Empirical Nonnested Models . J. Econometrics , 67 : 149 – 171 .
  • Fan , Y. and Li , Q. 1995 . Bootstrapping J-Type Tests for Non-nested Regression Models . Econ. Letters , 48 : 107 – 112 .
  • Godfrey , L. G. 1998 . Tests of Non-nested Regression Models: Some Results on Small Sample Behaviour and the Bootstrap . J. Econometrics , 84 : 59 – 74 .
  • Davidson , R. and MacKinnon , J. G. 2002 . Bootstrap J Tests of Nonnested Linear Regression Models . J. Econometrics , 109 : 167 – 193 .
  • Davidson , R. and MacKinnon , J. G. 2001 . “ Improving the Reliability of Bootstrap Tests; Queen's University Institute for Economic Research ” . Discussion Paper No. 995, revised.
  • Beran , R. 1988 . Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements . J. Amer. Statist. Ass. , 83 : 687 – 697 .
  • Davidson , R. and MacKinnon , J. G. 2000 . Bootstrap Tests: How Many Bootstraps? . Econometric Rev. , 19 : 55 – 68 .
  • Davidson , R. and MacKinnon , J. G. 1999 . The Size Distortion of Bootstrap Tests . Econometric Theory , 15 : 361 – 376 .
  • Hall , P. 1992 . The Bootstrap and Edgeworth Expansion New York : Springer-Verlag .

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