While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US...

Kevin Hoover and Stephen Perez take important steps towards resolving some key issues in econometric methodology. They simulate general-to-specific selection for linear, dynamic regression models, and find that their algorithm performs well in re-mining the ?Lovell database?. We discuss...

Existing panel cointegration tests rule out cross-unit cointegrating relationships, while economic theory and empirical observation argue strongly in favour of their presence. Using an extensive set of simulation experiments, we show that both univariate and multivariate panel cointegration...

We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis of an asymmetric loss function (i.e. of a preference for...

DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack or weakness of...