Showing 1 - 10 of 18
In recent years it has become apparent that many of the classical testing procedures used to select amongst alternative economic theories and economic models are not realistic. In particular, researchers have become more aware of the fact that parameter estimation error and data dependence play...
Persistent link: https://www.econbiz.de/10002432747
This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...
Persistent link: https://www.econbiz.de/10002432791
This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...
Persistent link: https://www.econbiz.de/10002432934
This paper addresses the notion that many fractional I(d) processes may fall into the empty boxʺ category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...
Persistent link: https://www.econbiz.de/10002432981
In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection,...
Persistent link: https://www.econbiz.de/10001848639
Persistent link: https://www.econbiz.de/10001848647
In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...
Persistent link: https://www.econbiz.de/10001848652
Persistent link: https://www.econbiz.de/10001848668
Persistent link: https://www.econbiz.de/10001848671
Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with "out-of-sample Granger causalityʺ. In particular, it is often of interest to assess whether...
Persistent link: https://www.econbiz.de/10001848736