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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

Using recently developed Monte Carlo methodology, this paper investigates the effect of dynamics and simultaneity on the finite sample properties of maximum likelihood and instrumental variables statistics for testing both nested and non-nested hypotheses. Numerical-analytical approximations...

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

Predictable uncertainty in economic forecasting

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2000

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models,...

Persistent link: https://www.econbiz.de/10005368311

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

"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in …

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

The power of cointegration tests

Kremers, Jeroen J.M.; Ericsson, Neil R.; Dolado, Juan J. - Federal Reserve Board (Board of Governors of the … - 1992

A cointegration test statistic based upon estimation of an error correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic...

Persistent link: https://www.econbiz.de/10005368459

General-to-specific modeling: an overview and selected bibliography

Campos, Julia; Ericsson, Neil R.; Hendry, David F. - Federal Reserve Board (Board of Governors of the … - 2005

of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …

Persistent link: https://www.econbiz.de/10005368530

Exogeneity, cointegration, and economic policy analysis

Ericsson, Neil R.; Hendry, David F.; Mizon, Grayham E. - Federal Reserve Board (Board of Governors of the … - 1998

This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general; and these concepts are then applied to...

Persistent link: https://www.econbiz.de/10005372535

A retrospective on J. Denis Sargan and his contributions to econometrics

Ericsson, Neil R.; Maasoumi, Esfandiar; Mizon, Grayham E. - Federal Reserve Board (Board of Governors of the … - 2001

econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography …

Persistent link: https://www.econbiz.de/10005372638

Forecast uncertainty in economic modeling

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2001

This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is …

Persistent link: https://www.econbiz.de/10005712694

Cointegration tests in the presence of structural breaks

Campos, Julia; Ericsson, Neil R.; Hendry, David F. - Federal Reserve Board (Board of Governors of the … - 1993

Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the...

Persistent link: https://www.econbiz.de/10005712836

Health econometrics

Baltagi, Badi H. (ed.); Moscone, Francesco (ed.) - 2018 - First edition

availability of large micro and macro data sets as well as the rapid development of new techniques and tools in econometrics … econometrics, health expenditure, and networks. …

Persistent link: https://www.econbiz.de/10012050555