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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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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
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Companion for “Statistics for Business and Economics” by Paul Newbold, William L. Carlson and Betty Thorne
Mynbaev, Kairat - Volkswirtschaftliche Fakultät, … - 2010
This is a mathematical companion for “Statistics for Business and Economics” by Paul Newbold, William L. Carlson and … of that textbook. Most importantly, the companion provides methodological recommendations as to how statistics should be …
Persistent link: https://www.econbiz.de/10008587859