Robust Non-nested Testing for Ordinary Least Squares Regression when Some of the Regressors are Lagged Dependent Variables*
研究了包含滞后因变量作为回归元的非嵌套回归模型的检验问题，提出了一种异方差稳健的联合检验方法，并通过蒙特卡洛模拟表明使用野自助法能更好地控制有限样本显著性水平。
The problem of testing non-nested regression models that include lagged values of the dependent variable as regressors is discussed. It is argued that it is essential to test for error autocorrelation if ordinary least squares and the associated J and F tests are to be used. A heteroskedasticity–robust joint test against a combination of the artificial alternatives used for autocorrelation and non-nested hypothesis tests is proposed. Monte Carlo results indicate that implementing this joint test using a wild bootstrap method leads to a well-behaved procedure and gives better control of finite sample significance levels than asymptotic critical values.