Effect of small-sample adjustments for Cox test under non-nested linear regression models

We consider the effect of Godfrey and Pesaran's (1983) two small-sample adjustments for the Cox (1961, 1962) non-nested test statistic under linear regression models. Based on convenient representations of the test statistics in terms of the correlation coefficients, we compare the confidence contours of the test statistics.

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Year of publication:	2004-08-10
Authors:	Otsu, Taisuke
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 28, p. 1-4
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010630141