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Multivariate Autocontours for Specification Testing in Multivariate GARCH Models *

González‐Rivera Gloria and Emre Yoldas

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0011
Subject:
Economics and Finance, Econometrics

This chapter develops a new set of specification tests for multivariate dynamic models based on the concept of autocontours. The chapter is organized as follows. Section 2 describes the battery of ... More


AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors

David F. Hendry and Frank Srba

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0015
Subject:
Economics and Finance, Econometrics

Keeping econometrics operational with suitable computer programs that implement new methods and approaches is essential. The evolution of AUTOREG follows the methodological developments, from ... More


Stochastic-Simulation Tests of Nonlinear Econometric Models

Roberto S. Mariano and Bryan W. Brown

in Comparative Performance of U.S. Econometric Models

Published in print:
1991
Published Online:
October 2011
ISBN:
9780195057720
eISBN:
9780199854967
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195057720.003.0009
Subject:
Economics and Finance, Econometrics

Stochastic simulations of nonlinear dynamic econometric models have been used in various ways in the past. This chapter discusses how stochastic simulations can be exploited to develop appropriate ... More


Calibration of Model Selection and Design Procedure

Qin Duo

in A History of Econometrics: The Reformation from the 1970s

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199679348
eISBN:
9780191758416
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679348.003.0010
Subject:
Economics and Finance, Econometrics, History of Economic Thought

This chapter looks at the slow and bumpy development of criteria and procedures for model selection and design. It describes how econometricians have gradually turned to face squarely the vexing ... More


General-to-specific Modeling

David F. Hendry and Jurgen A. Doornik

in Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics

Published in print:
2014
Published Online:
January 2015
ISBN:
9780262028356
eISBN:
9780262324410
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028356.003.0007
Subject:
Economics and Finance, Econometrics

After noting a variety of extant approaches to automatic model selection, we consider the six main stages in formulating and implementing a Gets approach to model discovery. First, a careful ... More


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