Suppose that you are performing the Davidson-MacKinnon test for choosing among non-nested alternatives and that in the second stage you estimate the sample regression function and find that the predicted values are not statistically significant.You decide that
A)the initial model is statistically preferred.
B)the second model is statistically preferred.
C)neither model is appropriate.
D)the coefficient estimates from both models are biased.

Question

Quizplus · Accepted Answer

The Davidson-MacKinnon test compares non-nested models based on their predictive ability. If the predicted values from the second model are not statistically significant, it suggests that the initial model is a better fit for the data. Therefore, the initial model is statistically preferred over the second model.

Suppose That You Are Performing the Davidson-MacKinnon Test for Choosing