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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

A simple approach to robust inference in a cointegrating system

Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 1999

Cointegration requires all the variables in the system to have exact unit roots; accordingly it is conventional for researchers to test for a unit root in each variable prior to a cointegration analysis. Unfortunately, these unit root tests are not powerful. Meanwhile, conventional cointegration...

Persistent link: https://www.econbiz.de/10005368250

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

The adequacy of the data on U.S. international financial transactions: a Federal Reserve perspective

Stekler, Lois E.; Truman, Edwin M. - Federal Reserve Board (Board of Governors of the … - 1992

This paper was prepared for the meeting of the Panel on International Capital Transactions of the National Research Council (National Academy of Sciences), April 23, 1992. There are well-documented inadequacies in the data on U.S. international capital flows, cross-border holdings of assets, and...

Persistent link: https://www.econbiz.de/10005368510

Brief remarks: a speech at the Bureau of Labor Statistics 125th Anniversary Celebration, Washington, D.C., June 26, 2009

Bernanke, Ben S. - Federal Reserve Board (Board of Governors of the … - 2009

Persistent link: https://www.econbiz.de/10010725531

Innovative statistics for a dynamic economy: a speech at the National Association for Business Economics Professional Development Seminar for Journalists, Washington, D.C., May 24,...

Kroszner, Randall S. - Federal Reserve Board (Board of Governors of the … - 2006

Persistent link: https://www.econbiz.de/10010725535

Tolerance-width groupings for editing banking deposits data: an analysis of variance of variances

Pierce, David A.; Bauer, Laura L. - Federal Reserve Board (Board of Governors of the … - 1989

Persistent link: https://www.econbiz.de/10005721002

Financial statistics for the United States and the crisis: what did they get right, what did they miss, and how should they change?

Eichner, Matthew J.; Kohn, Donald L.; Palumbo, Michael G. - Federal Reserve Board (Board of Governors of the … - 2010

Although the instruments and transactions most closely associated with the financial crisis of 2008 and 2009 were novel, the underlying themes that played out in the crisis were familiar from previous episodes: Competitive dynamics resulted in excessive leverage and risk-taking by large,...

Persistent link: https://www.econbiz.de/10008498959

Brief remarks: a speech at the Bureau of Labor Statistics 125th Anniversary Celebration, Washington, D.C., June 26, 2009

Bernanke, Ben S. - Federal Reserve Board (Board of Governors of the … - 2009

Persistent link: https://www.econbiz.de/10010665263