Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard...

Test for unit root based in wavelets theory is recently defined (Genay and Fan, 2007). While the new test is supposed to be robust to the initial value, we bring out by contrast the significant effects of the initial value in the size and the power. We found also that both the wavelets unit root...

This paper advocates the transformations used for the consistent estimation of the full-fledged fixed effects zero-inflated Poisson model whose zero outcomes can arise from both of logit and Poisson parts and which equips both parts with the fixed effects. The valid moment conditions are...

In the literature, there are not satisfactory methods for measuring and presenting the performance of confidence regions. In this paper, techniques for measuring effectiveness of confidence regions and for the graphical display of simulation evidence as regards the coverage and effectiveness of...

This paper proposes the transformations for the dynamic fixed effects logit models. Firstly, the transformations construct the valid moment conditions (including the stationarity moment conditions) for the case without explanatory variable. Combining portions of the valid moment conditions gives...

This study replicates the paper "Brown, J. P., Lambert, D. M., & Wojan, T. R. (2019). The effect of the conservation reserve program on rural economies: deriving a statistical verdict from a null finding. American Journal of Agricultural Economics , 101 (2), 528-540" and their procedure for...

A variety of standard forecasting accuracy criteria and one suggestion are applied to evaluate the OECD's macroeconomic forecasts for Greece for the aggregate demand and output, the GDP implicit price deflator, the investment, the imports and the exports of goods and services. Every year and...

The Two-Stage Least Squares (2-SLS) is a well known econometric technique used to estimate the parameters of a multi-equation (or simultaneous equations) econometric model when errors across the equations are not correlated and the equation(s) concerned is (are) over-identified or exactly...

The small sample performance of Granger causality tests under different model dimensions, degree of c cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test...