The behaviour of linear model selection tests under globally non-nested hypotheses
The behaviour of linear model selection tests under globally non-nested hypotheses
复制标题
全局非嵌套假设下线性模型选择测试的行为
DOI：
--
复制
发表时间：
2002
期刊：
影响因子：
--
通讯作者：
W. Johnson
中科院分区：
文献类型：
--
作者：
M. Watnik;W. Johnson
摘要本文研究非嵌套线性模型选择在备择假设下检验的渐近性态。我们考虑三个测试程序：J-测试（cf. Davidson和MacKinnon，1981年）; JA测试（参见Fisher和McAleer，1981）;以及改良的考克斯检验（参见戈弗雷和Pesaran，1983年）。所有的都被证明有积极的手段下真正的替代。因此，为了区分模型，应将其视为单侧检验。我们推导出这些统计量的略加修改的版本下的替代，以获得相对eciencies的渐近分布。选择修改的版本是因为它们具有比原始检验统计量更大的功效。测试之间的代数和理论关系。
SUMMARY. We consider the asymptotic behaviour of tests for non-nested linear model selection under the alternative hypothesis. We consider three testing procedures: the J-test (cf. Davidson and MacKinnon, 1981); the JA-test (cf. Fisher and McAleer, 1981); and the modified Cox test (cf. Godfrey and Pesaran, 1983). All are shown to have positive means under the true alternative. Thus, for discriminating between models, they should be treated as one-sided tests. We derive asymptotic distributions for slightly modified versions of these statistics under the alternative in order to obtain relative eciencies. The modified versions are selected since they have greater power than the original test statistics. Both algebraic and theoretical relationships among the tests are indicated.