Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the...

This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of...

A "structural" error correction model (in Boswijk's sense) is a rep­resentation of a conditional error correction model that satisfies certain restrictions. This paper examines the conditions under which such a struc­tural error correction model exists and when the associated representation is...

This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade...

Both future disturbances and estimated coefficients contribute to the uncertainty in model-based ex ante forecasts, but only the first source is usually taken into account when calculating confidence intervals for practical applications. Schmidt (1974) and Baillie (1979) provide an easily...

This paper summarizes David Hendry's empirical econometric methodology, unifying discussions in many of his and his co-authors' papers. Then, we describe how Hendry's suite of computer programs PC-GIVE helps users implement that methodology. Finally, we illustrate that methodology and the...

This paper evaluates the distributional properties of forecasts from six econometric models of the U.S. trade account. Using stochastic (Monte Carlo) simulation, we derive confidence intervals and forecast-based test statistics which account for uncertainty from future disturbances and from...

This paper investigates the empirical relevance of the Lucas critique. A database is constructed of all articles in the Social Science Citation Index that cite Lucas (1976). Those articles are characterized by the nature of the article, the context in which Lucas (1976) is cited, and the...

This overview describes the concepts of cointegration and exogeneity, focusing on analytical structure, statistical inference, and implications for policy analysis. Examples help clarify the concepts. The remainder of the overview summarizes the articles in a special issue of the Journal of...

This paper estimates the parameters of a stylized dynamic stochastic general equilibrium model using maximum likelihood and Bayesian methods, paying special attention to the issue of weak parameter identification. Given the model and the available data, the posterior estimates of the weakly...