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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
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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
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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