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

Multiple Choice

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.