Szroeter, J;
(1998)
Gross Non-Normality and the Quality of a Simple Approximation to the P-Value of a Routine Test of Non-Nested Regressions.
(UCL Economics Discussion Paper
1998-5).
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Abstract
The distribution of certain test statistics for non-nested regressions can be so grossly non-normal that p-values computed on the assumption of approximate normality cannot be safely used for routine inference. This paper presents results on the quality of a new more accurate yet still user-friendly p-value approximation which embodies an inverse measure of the strength of relationship between regressors of competing models. This easily-computed measure is equivalent to the sum of eigenvalues which have recently been shown to characterize the exact finite-sample distribution of the test statistic.
| Type: | Working / discussion paper |
|---|---|
| Title: | Gross Non-Normality and the Quality of a Simple Approximation to the P-Value of a Routine Test of Non-Nested Regressions |
| Open access status: | An open access version is available from UCL Discovery |
| Keywords: | non-nested regressions, p-value, size, non-normality, point approximation, eigenvalues. |
| UCL classification: | UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/18123 |
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