Although out-of-sample forecast performance is often deemed to be the 'gold standard' of evaluation, it is not in fact a good yardstick for evaluating models in general. The arguments are illustrated with reference to a recent paper by Carruth, Hooker and Oswald ["Review of Economics and...

We use plant-level employer-employee data in production functions and wage equations to examine whether wages are based on productivity. We use a stepwise procedure to find out how the results are influenced by the kind of data that is available. The models include shares of employee groups...

The finite mixture distribution is proposed as an appropriate statistical model for a combined density forecast. Its implications for measures of uncertainty and disagreement, and for combining interval forecasts, are described. Related proposals in the literature and applications to the U.S....

In this paper, we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our leading indicators are taken from the variables in the European Central Bank's (ECB) Euro-area-wide model database, plus a set of similar variables for the US. We compare...

A desirable property of a forecast is that it encompasses competing predictions, in the sense that the accuracy of the preferred forecast cannot be improved through linear combination with a rival prediction. In this paper, we investigate the impact of the uncertainty associated with estimating...

In this paper, we investigate the effects of cross-sectional disturbance correlation in a homogeneous panel data unit root test. As reported by other authors, the unit root test has incorrect size in the presence of cross-sectional correlation. We suggest that a previously known estimator can be...

Ordinary least squares estimation of an impulse-indicator coefficient is inconsistent, but its variance can be consistently estimated. Although the ratio of the inconsistent estimator to its standard error has a "t"-distribution, that test is inconsistent: one solution is to form an index of...

Unit-root testing can be a preliminary step in model development, an intermediate step, or an end in itself. Some researchers have questioned the value of any unit-root and cointegration testing, arguing that restrictions based on theory are at least as effective. Such confusion is...

This paper proposes neural network-based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely on nonparametric estimation of densities...

We examine the relationship between aggregate investment and exchange rate uncertainty in the G7, using panel estimation and decomposition of volatility derived from the components generalized autoregressive conditionally heteroscedastic (GARCH) model. Our dynamic panel approach takes account of...