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Power in non-nested models: a comparative study

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  • Maria-Isabel Ayuda
  • Antonio Aznar
Abstract
The main objective of this letter is to compare two concepts of the power of a test developed in the literature on non-nested hypotheses. Using Monte Carlo techniques it is shown that both definitions of power are asymptotically equivalent, but for small samples they differ in some cases very dramatically.

Suggested Citation

  • Maria-Isabel Ayuda & Antonio Aznar, 2000. "Power in non-nested models: a comparative study," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 483-486.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:7:p:483-486
    DOI: 10.1080/135048500351230
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
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    7. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
    8. Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.
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