This paper proposes a new approach to modeling heteroskedastidty which enables the modeler to utilize information conveyed by data plots in making informed decisions on the form and structure of heteroskedasticity. It extends the well-known normal/linear/homoskedastic models to a family of...

The main aim of the paper is to reevaluate the methodological contributions of Tinbergen and Haavelmo in the context of the current discussions on econometric modeling and propose a reformulation of the Haavelmo methodology. The paper argues that the textbook methodology constitutes a less...

The exponentially tilted family of densities is used to discuss the relationship between the encompassing principle and the <italic>M</italic>-test or conditional moment testing principle. It is shown that the two principles are capable of generating the same test statistics and in this sense equivalent....