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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

A Rational Route to Randomness.

Brock, W.A. - Wisconsin Madison - Social Systems - 1995

Persistent link: https://www.econbiz.de/10005795225

A Numerical Solution of the Stochastic Growth Model.

Akdeniz, L.; Dechert, W.D. - Wisconsin Madison - Social Systems - 1995

Persistent link: https://www.econbiz.de/10005795252

Statistical Mechanics Approaches to Socioeconomic Behavior.

Durlauf, S.N. - Wisconsin Madison - Social Systems - 1996

This paper provides a unified framework for interpreting a wide range of interactions models which have appreared in the economic literature. The framework bears a close relationship to econometric models of descrete choice and therefore holds the potential for rendering interactions models...

Persistent link: https://www.econbiz.de/10005136827

THE THEORY OF STATISTICAL INFERENCE FOR NONLINEAR SCIENCE: GAUGE FUNCTIONS, COMPLEXITY MEASURES, AND INSTABILITY MEASURES

BROCK, W.A.; BAEK, E.G. - Wisconsin Madison - Social Systems - 1988

Persistent link: https://www.econbiz.de/10005443424

A Rational Route to Randomness.

Brock, W.A.; Hommes, C.H. - Wisconsin Madison - Social Systems - 1996

This paper puts forth a concept of Adptivety Rational Equilibrium (A.R.E) where agents base decisions upon predictions of future values of endogenous variables whose actual values are determined by equilibrium equations.

Persistent link: https://www.econbiz.de/10005443472