Abstract
Abstract It is known that the small sample significance levels of Cox-type tests of non-nested regression models can be much greater than the nominal level. Adjustments designed to overcome this problem are discussed and two tests are proposed. Monte Carlo evidence on the performance of the tests derived in this paper, the Davidson-MacKinnon J -test and the Fisher-McAleer test is presented. The F -test applied to the comprehensive model is also included in the simulation experiments.
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