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Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory
Ghysels, E.; Hall, A. - Département de Sciences Économiques, Université de … - 1987
In This Paper Several Additional Gmm Specification Tests Are Studied. a First Test Is a Chow-Type Test for Structural … Second Set of Specification Tests Are Var Encompassing Tests. It Is Assumed That the Dgp Has a Finite Var Representation. the … Tests Is to Compare Parameter Estimates of the Euler Conditions and Var Representations of the Dgp Obtained Separately with …
Persistent link: https://www.econbiz.de/10005545662
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A Test of New Aggregate Damand Curvature Properties.
Korenman, S.D.; Ouellette, P.; Wooldridge, J. - Département de Sciences Économiques, Université de … - 1988
In This Paper We Present and Implement an Econometric Test of Both Negative Semi-Definiteness of the Matrix of Compensated Price Effects and of the Negative Quasi-Definiteness of the Matrix of Uncompensated Price Effects. This Test Allows Us to Evaluate Two Alternative Characterizations of...
Persistent link: https://www.econbiz.de/10005353198
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The Use of Box-Cox Transformations in Regression Models with Heteroskedastic Autoregressive Residuals
Gaudry, M.J.I.; Dagenais, M.G. - Département de Sciences Économiques, Université de … - 1978
Persistent link: https://www.econbiz.de/10005545795
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Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie
Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2001
In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first … identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to … heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …
Persistent link: https://www.econbiz.de/10005101036
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On the use of robust regression in econometrics
Baldauf, Markus (contributor);  … - 2009
estimator that has become popular in applied econometrics, and conclude that its use in this context cannot be generally …
Persistent link: https://www.econbiz.de/10003882551
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003311396
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003396145
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Mixing Conditions, Central Limit Theorems and Invariance Principles : A Survey of the Literature with Some New Results on Heteroscedastic Sequences
Kourogenis, Nikolaos - 2009
has just barely infinite variance, since this case is relevant to econometrics applications that involve high …
Persistent link: https://www.econbiz.de/10012719662
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The bigger picture : combining econometrics with analytics improve forecasts of movie success
Lehrer, Steven F.; Xie, Tian - 2020
strategies that combine econometrics and machine learning when conducting forecasts with new big data sources. Specifically … reduction strategies and traditional econometrics approaches in forecast accuracy, there are further significant gains from …
Persistent link: https://www.econbiz.de/10012395580