On nonnested regression through modified regressor design

M. Ishaq Bhatti; M. Zakir Hossain; Rafi Ashrafi

On nonnested regression through modified regressor design

M. Ishaq Bhatti, M. Zakir Hossain, Rafi Ashrafi^*

^*Corresponding author for this work

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Abstract

This paper examines the consequences of improper use of Monte Carlo (MC) simulation design in order to compare some nonnested testing procedures within the framework of Dubbelman et al's (1978) work. It also investigates the aspect of the MC experiment of Godfrey and Pesaran's (1983) study. In doing so, a small MC experiment with modified parameters in the generating mechanism for the regressors in the null model is carried out. However, the results obtained in this study confirm that the JA² test can be regarded as a serious contender within the array of inferential tools in nonnested setting.

Original language	English
Pages (from-to)	315-330
Number of pages	16
Journal	Journal of Applied Statistical Science
Volume	16
Issue number	3
Publication status	Published - 2008

Keywords

Monte carlo simulation
Nonnested models
Power &
Size of a test

ASJC Scopus subject areas

Statistics and Probability

Cite this

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AU - Ashrafi, Rafi

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AB - This paper examines the consequences of improper use of Monte Carlo (MC) simulation design in order to compare some nonnested testing procedures within the framework of Dubbelman et al's (1978) work. It also investigates the aspect of the MC experiment of Godfrey and Pesaran's (1983) study. In doing so, a small MC experiment with modified parameters in the generating mechanism for the regressors in the null model is carried out. However, the results obtained in this study confirm that the JA2 test can be regarded as a serious contender within the array of inferential tools in nonnested setting.

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KW - Nonnested models

KW - Power &

KW - Size of a test

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On nonnested regression through modified regressor design

Abstract

Keywords

ASJC Scopus subject areas

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