We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton and Bowman ["Journal of the American Statistical Association" (1977) Vol. 72, pp. 206-211], which controls well for size, for samples as low as 10 observations. A multivariate version...

The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between "linear" and "log-linear" unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed...

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...

An open question in empirical economics is whether models should be estimated by using the actual, or linear, values of economic variables or their logarithms. This paper applies the principle of encompassing to suggest specification and mis-specification tests of log vs. linear individual...

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...