n.a.

In recent years it has become apparent that many of the classical testing procedures used to select amongst alternative economic theories and economic models are not realistic. In particular, researchers have become more aware of the fact that parameter estimation error and data dependence play...

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is first shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...

We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive...

We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramér-von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...

We propose new methods for evaluating predictive densities. The methods include Kolmogorov–Smirnov and Cramér–von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is ¯rst shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...

This paper introduces a new block bootstrap which is valid for recursive m-estimators, in the sense that its use suFFIces to mimic the limiting distribution of (1/P^.5)(SUM(t=R to T-1)(THETA-t-hat - THETA-plus)); where R denotes the length of the estimation period, P the number of recursively...