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Working Paper
Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence
Hooker, Mark A. (1997)
This paper analyzes tests of the Cagan hyperinflation-money demand model that have several advantages relative to those in the literature. They do not confound specification error with rational bubbles, are implementable with a linear procedure, and are frequently able to detect periodically collapsing bubbles that have challenged existing tests. After a Monte Carlo analysis, the tests are applied to data from hyperinflations in Austria, Germany, Hungary, and Poland. Strong evidence of model misspecification is found for Austria, while the model with a rational, explosive component well ...
Finance and Economics Discussion Series , Paper 1997-49

Report
Identification of a linear system from inexact data: a three variable example
Los, Cornelis A. (1987)
Research Paper , Paper 8703

Working Paper
Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics
Ericsson, Neil R. (1986)
"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in which the analytical unknowns are reformulated as parameters to be estimated." (Hendry (1980) With that in mind, Monte Carlo studies may be divided operationally into three phases: design, simulation, and post-simulation analysis. This paper provides a guide to the last of those three, post-simulation analysis, given the design and simulation of a Monte Carlo study, and uses Pesaran's (1974) study of statistics for testing non-nested hypotheses to illustrate the techniques ...
International Finance Discussion Papers , Paper 276

Working Paper
A technique for estimating a cost system that allows for inefficiency
Bauer, Paul W. (1987)
The presentation of a new econometric technique for estimating a system of cost and input share equations that allow for inefficiency.
Working Papers (Old Series) , Paper 8704

Working Paper
A retrospective on J. Denis Sargan and his contributions to econometrics
Ericsson, Neil R.; Mizon, Grayham E.; Maasoumi, Esfandiar (2001)
This retrospective provides a biographical history of Denis Sargan's career and reviews his contributions to econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography for Denis and a list of PhD theses that he supervised--students were a substantive facet of his professional life. Finally, two of Denis's previously unpublished manuscripts on model building now appear in print.
International Finance Discussion Papers , Paper 700

Working Paper
Is it possible to find an econometric law that works well in explanation and prediction? The case of Australian money demand
Swamy, P. A. V. B.; Tavlas, George S. (1990)
Finance and Economics Discussion Series , Paper 128

Working Paper
Testing the null of identification in GMM
Wright, Jonathan H. (2002)
This paper proposes a new test of the null hypothesis that a generalized method of moments model is identified. The test can detect local or global underidentification, and underidentification in some or all directions. The idea of the test is to compare the volume of two confidence sets - one that is robust to lack of identification and one that is not. Under the null hypothesis the relative volume of these two sets is Op(1), but under the alternative, the robust confidence set has infinite relative volume.
International Finance Discussion Papers , Paper 732

Working Paper
Predictive regressions with panel data
Hjalmarsson, Erik (2006)
This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors. The standard fixed effects estimator is shown to suffer from a second order bias; analytical results, as well as Monte Carlo evidence, show that the bias and resulting size distortions can be severe. New estimators, based on recursive demeaning as well as direct bias correction, are proposed and methods for dealing with cross sectional dependence in the form of common factors are also developed. Overall, the results show that the econometric issues associated with predictive ...
International Finance Discussion Papers , Paper 869

Working Paper
Making the Cobb-Douglas functional form an efficient nonparametric estimator through localization
McManus, Douglas A. (1994)
Finance and Economics Discussion Series , Paper 94-31

Report
Using simulation methods for Bayesian econometric models: inference, development, and communication
Geweke, John F. (1998)
This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a fixed number of completely specified models, the paper introduces subjective Bayesian tools for formal comparison of these models with as yet incompletely specified models. The paper then shows how posterior simulators can facilitate communication between investigators (for example, ...
Staff Report , Paper 249

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