This paper utilizes the bootstrap to construct tests using the measures for goodness-of-fit for nonnested regression models. The bootstrap enables us to compute the statistical significance of the differences in the measures and to formally test on nonnested regression models. The bootstrap...

The Breusch-Godfrey’s LM test is one of the most popular tests for autocorrelation. However, it has been shown that the LM test may be erroneous when there exist heteroskedastic errors in regression model. Some remedies recently have been proposed by Godfrey and Tremayne (2005) and Shim et al....

This paper investigates the potential problem of ‘pseudo-exogenous’ instruments in regression models. We show that the performance of Hausman test is deteriorated when the instruments are asymptotically exogenous but endogenous in finite samples, through Monte Carlo simulations.

By using the quantile regressions of earnings equation, we find that the educational wage premium is higher in industries with rapid technological change than in industries with slower technological change at every decile in the distribution of wage residuals. The wage premium associated with...

The Breusch--Godfrey LM test is one of the most popular tests for autocorrelation. However, it has been shown that the LM test may be erroneous when there exist heteroskedastic errors in a regression model. Recently, remedies have been proposed by Godfrey and Tremayne [9] and Shim <italic>et al.</italic> [21]....