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Out-of-sample tests or granger causality

Chao, John; Corradi, Valentina; Swanson, Norman R. - In: Macroeconomic dynamics 5 (2001) 4, pp. 598-620

Persistent link: https://www.econbiz.de/10001625176

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John; Swanson, Norman R. - In: Journal of econometrics 137 (2007) 2, pp. 515-555

Persistent link: https://www.econbiz.de/10007604721

Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction

Chao, John; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10005762492

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John; Swanson, Norman R. - In: Journal of Econometrics 137 (2007) 2, pp. 515-555

Persistent link: https://www.econbiz.de/10005192513

OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY

Chao, John; Corradi, Valentina; Swanson, Norman R. - In: Macroeconomic Dynamics 5 (2001) 04, pp. 598-620

Persistent link: https://www.econbiz.de/10011120946