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Behaviour in small samples of some tests of non-nested hypotheses in non-stationary regressions and their bootstrap versions

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Summary

In this paper, we use simulation methods to assess, in small samples, the performance of the Davidson and MacKinnon (1981) J-test when it is used to discriminate between two non-nested models with non-stationary regressors. We distinguish two cases: first, we assume that the sets of regressors of the two models are cointegrated; secondly, we consider the case where the regressors are not cointegrated. We also compare the behaviour of this test with that of the Fisher McAleer JA-type test and the bootstrap-adjusted J-tests, in order to assess its relative performance.

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Notes

  1. 1 Note that under H1 we would use the same notation, but with*.

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Authors and Affiliations

  1. Department of Economic Analysis, University of Zaragoza, Doctor Cerrada 1-3, 50005, Zaragoza, Spain

    María-Isabel Ayuda & Antonio Aznar

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  1. María-Isabel Ayuda
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  2. Antonio Aznar
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Ayuda, MI., Aznar, A. Behaviour in small samples of some tests of non-nested hypotheses in non-stationary regressions and their bootstrap versions. Computational Statistics 20, 327–347 (2005). https://doi.org/10.1007/BF02789707

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