A common practice in applied econometrics consists of replacing a suspected endogenous variable with its lagged values. This note demonstrates that lagging an endogen¬ous variable does not enable one to escape simultaneity bias. The associated estimates are still inconsistent, and hypothesis...

A common practice in applied economics research consists of replacing a suspected simultaneously-determined explanatory variable with its lagged value. This note demonstrates that this practice does not enable one to avoid simultaneity bias. The associated estimates are still inconsistent, and...

This study uses Monte Carlo analysis to investigate the performances of five different meta-analysis (MA) estimators: the Fixed Effects (FE) estimator, the Weighted Least Squares (WLS) estimator, the Random Effects (RE) estimator, the Precision Effect Test (PET) estimator, and the Precision...

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics. Improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal....

Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

This paper investigates the properties of the Panel-Corrected Standard Error (PCSE) estimator. The PCSE estimator is commonly used when working with time-series, crosssectional (TSCS) data. In an influential paper, Beck and Katz (1995) (henceforth BK) demonstrated that FGLS produces coefficient...

We consider a weighting scheme that yields a best-case scenario for measured human development such as the official equally-weighted Human Development Index (HDI) using an approach that relies on consistent tests for stochastic dominance efficiency (SDE). We compare the official equally-weighted...

This paper reviews and compares twenty-one different model selection algorithms (MSAs) representing a diversity of approaches, including (i) information criteria such as AIC and SIC; (ii) selection of a “portfolio” or best subset of models; (iii) general-to-specific algorithms, (iv)...

This review surveys a number of common Model Selection Algorithms (MSAs), discusses how they relate to each other, and identifies factors that explain their relative performances. At the heart of MSA performance is the trade-off between Type I and Type II errors. Some relevant variables will be...