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~person:"McAleer, Michael"
~person:"Rebucci, Alessandro"
~source:"repec"
~subject:"forecasting"
~subject:"monte carlo simulation"
~subject:"number of parameters"
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McAleer, Michael
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The maximum Number of parameters for the Hausman Test When the Estimators are from Different Sets of Equations
McAleer, Michael
;
Nawata, Nawata, K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2013
__Abstract__ Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and...
Persistent link: https://www.econbiz.de/10011149244
Saved in:
2
The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
Nawata, Kazumitsu
;
McAleer, Michael
-
Tinbergen Instituut
-
2013
This discussion paper led to a publication in <I>Economics Letters</I> (2014). Vol. 123(3), pages 291-294.<P> Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but...</p></i>
Persistent link: https://www.econbiz.de/10011256925
Saved in:
3
The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
McAleer, Michael
;
Nawata, Kazumitsu
-
Facultad de Ciencias Económicas y Empresariales, …
-
2013
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...
Persistent link: https://www.econbiz.de/10010778706
Saved in:
4
The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
Nawata, Kazumitsu
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2014
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...
Persistent link: https://www.econbiz.de/10010907409
Saved in:
5
Modeling
and Simulation: An Overview
McAleer, Michael
;
Chan, Felix
;
Oxley, Les
-
Department of Economics and Finance, College of …
-
2013
through the comparison of simultaneous and sequential estimation,
modeling
tail credit risk using transition matrices …
Persistent link: https://www.econbiz.de/10010907447
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6
Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo
;
Rebucci, Alessandro
-
International Monetary Fund (IMF)
-
2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10005825693
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7
On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Rebucci, Alessandro
-
International Monetary Fund (IMF)
-
2003
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...
Persistent link: https://www.econbiz.de/10005263898
Saved in:
8
Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro
;
Ciccarelli, Matteo
-
International Monetary Fund (IMF)
-
2003
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10005263948
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