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Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1987

the finite sample properties of maximum likelihood and instrumental variables statistics for testing both nested and non … those statistics are obtained for dynamic one-and two-equation models. The results illustrate the value of asymptotic theory … additional information gained from the instrumental variables statistics. …

Persistent link: https://www.econbiz.de/10005368195

Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1986

, and uses Pesaran's (1974) study of statistics for testing non-nested hypotheses to illustrate the techniques described. A … of different test statistics so that comparisons of their power may be made. Extensions to other finite sample properties …

Persistent link: https://www.econbiz.de/10005368405

Distributions of error correction tests for cointegration

Ericsson, Neil R.; MacKinnon, James G. - Federal Reserve Board (Board of Governors of the … - 1999

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the...

Persistent link: https://www.econbiz.de/10005368469

Measuring China's Fiscal Policy Stance

Dullien, Sebastian - EconWPA - 2005

This paper argues that the tradtitional way of gauging a country's fiscal policy stance by looking at government budget deficit or cyclically adjusted budget deficits is misleading in the case of China, since a lot of what usually would be considered fiscal policy is conducted via investment by...

Persistent link: https://www.econbiz.de/10005076727

Integration of Statistical Methods and Judgment for Time Series

Armstrong, JS; Collopy, Fred - EconWPA - 2004

We consider how judgment and statistical methods should be integrated for time-series forecasting. Our review of published empirical research identified 47 studies, all but four published since 1985. Five procedures were identified: revising judgment; combining forecasts; revising...

Persistent link: https://www.econbiz.de/10005119422