Bootstrap and Pretest J-Type Non-Nested Tests for Orthogonal Regression Models: Some Monte Carlo Evidence |
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Authors: | Michelis Leo Stengos Thanasis Yang Ling |
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Institution: | 16.Department of Economics, Ryerson University, Toronto, Canada ;26.Department of Economics, University of Guelph, Guelph, Ontario, N1G 2W1, Canada ; |
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Abstract: | This paper compares the size and power of two J-type tests for weakly correlated or nearly orthogonal non-nested regression models: a bootstrap and a pretest test. The latter seems to outperform the former in terms of its size characteristics, especially when the alternative model has more non-nested regressors and the orthogonality between the two sets of regressors is severe. The bootstrap test does better in terms of power. |
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