Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10005186783
This paper considers simulation-based procedures to compute the Wald encompassing and the Cox test statistics for non-nested models. These simulation estimation procedures are applied to both the encompassing contrast and its covariance matrix in the case of a Wald non-nested test statistic, and...
Persistent link: https://www.econbiz.de/10005315915
The encompassing principle has been carefully and precisely defined in various contexts, since its first appearance in the 1980s literature in numerous papers by Hendry, Mizon and Richard. Since then, several distinct notions of encompassing have been proposed and still coexist in the...
Persistent link: https://www.econbiz.de/10005186849
The controversy over the selection of 'growth regressions' was precipitated by some remarkably numerous 'estimation' strategies, including two million regressions by Sala-i-Martin ["American Economic Review" (1997b) Vol. 87, pp. 178-183]. Only one regression is really needed, namely the general...
Persistent link: https://www.econbiz.de/10005186822
Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper, we propose...
Persistent link: https://www.econbiz.de/10005186879
We establish the consistency of the selection procedures embodied in "PcGets", and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the "PcGets" Liberal and Conservative algorithms coincide in very large samples with those...
Persistent link: https://www.econbiz.de/10005186894
The literature on model comparison often requires the assumption that the true conditional distribution corresponds to that of one of the competing models. This strong assumption has been extended by the notion of encompassing and in likelihood based model comparisons. This paper takes the...
Persistent link: https://www.econbiz.de/10005682105
Persistent link: https://www.econbiz.de/10005682121
This paper proposes a dating algorithm based on an appropriately defined Markov chain that enforces alternation of peaks and troughs, and duration constraints concerning the phases and the full cycle. The algorithm, which implements Harding and Pagan's non-parametric dating methodology, allows...
Persistent link: https://www.econbiz.de/10005682312
In this paper, we assess the possibility of producing unbiased forecasts for fiscal variables in the Euro area by comparing a set of procedures that rely on different information sets and econometric techniques. In particular, we consider autoregressive moving average models, Vector...
Persistent link: https://www.econbiz.de/10005682331