Behaviour in Small Samples of Some Tests of Non-Nested Hypotheses in Non-Stationary Regressions and Their Bootstrap Versions

摘要

In this paper, we use simulation methods to assess, in small samples, the performance of the Davidson and MacKinnon (1981) J-test when it is used to discriminate between two non-nested models with non-stationary regressors. We distinguish two cases: first, we assume that the sets of regressors of the two models are cointegrated; secondly, we consider the case where the regressors are not cointegrated. We also compare the behaviour of this test with that of the Fisher-McAleer JA-type test and the bootstrap-adjusted J-tests, in order to assess its relative performance.