Simulation Encompassing: Testing Non‐nested Hypotheses*
提出基于模拟的方法来计算非嵌套模型的Wald涵盖检验和Cox检验统计量，通过线性与对数线性模型比较的实例和蒙特卡洛研究，表明模拟协方差矩阵下小样本表现接近渐近分布。
Abstract This paper considers simulation‐based procedures to compute the Wald encompassing and the Cox test statistics for non‐nested models. These simulation estimation procedures are applied to both the encompassing contrast and its covariance matrix in the case of a Wald non‐nested test statistic, and both the numerator and the denominator in the Cox test statistic. The proposed procedures are illustrated by the example of comparing a linear with a log‐linear model. Monte Carlo studies are conducted for both examples and the results indicate that with simulated covariance matrices, the small sample behaviour of both test statistics is close to that of their asymptotic distributions.