Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

For decades, there has been a heated debate about whether or not nuclear power plants contribute to childhood cancer in their respective neighbourhoods, with statisticians testifying on both sides. The present paper points to some flaws in the pro-arguments, taking a recent study prepared for...

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Critics of international student comparisons argue that results may be influenced by differences in the extent to which countries adequately sample their entire student populations. In this research note, we show that larger exclusion and non-response rates are related to better country average...

This article takes issue with a recent book by Ziliak and McCloskey (2008) of the same title. Ziliak and McCloskey argue that statistical significance testing is a barrier rather than a booster for empirical research in many fields and should therefore be abandoned altogether. The present...

In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast models. In addition to the standard...

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent (CD), using the exponent of cross-sectional dependence introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

Economists sometimes interpret the failure of a significance test to disconfirm a hypothesis as evidence that this hypothesis is valid. Six examples of this are cited from recent journals. But this is a misinterpretation of what significance tests show. While in general it is correct that every...