TY - JOUR
T1 - The null and non-null asymptotic distribution of the Cox test for multivariate nonlinear regression. Alternatives and a new distribution-free Cox test
AU - Aguirre-Torres, Victor
AU - Ronald Gallant, A.
N1 - Funding Information:
*This research was supported National Mexico, CONACYT Project NC03641, the National
Funding Information:
by a Gertrude M. Cox Fellowship, the Instituto Politecnico Grant 22562, North Carolina Agricultural Experiment Station Science Foundation Grant SES 8014239.
PY - 1983/1
Y1 - 1983/1
N2 - The asymptotic distribution of the generalized Cox test for choosing between two multivariate, nonlinear regression models in implicit form is derived. The data is assumed to be generated by a model that need not be either the null or the non-null model. As the data-generating model is not subjected to a Pitman drift the analysis is global, not local, and provides a fairly complete qualitative description of the power characteristics of the generalized Cox test. Some investigations of these characteristics are included. A new test statistic is introduced that does not require an explicit specification of the error distribution of the null model. The idea is to replace an analytical computation of the expectation of the Cox difference with a bootstrap estimate. The null distribution of this new test is derived.
AB - The asymptotic distribution of the generalized Cox test for choosing between two multivariate, nonlinear regression models in implicit form is derived. The data is assumed to be generated by a model that need not be either the null or the non-null model. As the data-generating model is not subjected to a Pitman drift the analysis is global, not local, and provides a fairly complete qualitative description of the power characteristics of the generalized Cox test. Some investigations of these characteristics are included. A new test statistic is introduced that does not require an explicit specification of the error distribution of the null model. The idea is to replace an analytical computation of the expectation of the Cox difference with a bootstrap estimate. The null distribution of this new test is derived.
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U2 - 10.1016/0304-4076(83)90117-3
DO - 10.1016/0304-4076(83)90117-3
M3 - Article
AN - SCOPUS:0040313685
SN - 0304-4076
VL - 21
SP - 5
EP - 33
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -