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Testing and Evaluation

David F. Hendry

in Dynamic Econometrics

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.003.0013
Subject:
Economics and Finance, Econometrics

The non‐central chi‐squared distribution frequently results when hypothesis testing, so the large‐sample properties of such tests are analysed for sequences of local alternatives. Test power depends ... More


An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification

David F. Hendry and Grayham E. Mizon

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:
10.1093/0198293542.003.0008
Subject:
Economics and Finance, Econometrics

COMFAC is employed as a sequential simplification device in empirical analysis. Analysis of the finite‐sample statistical properties checked the power when a COMFAC representation of economic agents’ ... More


Epilogue: The Success of General‐To‐Specific Model Selection

David F. Hendry

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:
10.1093/0198293542.003.0021
Subject:
Economics and Finance, Econometrics

The essential roles of methodology in the development of sound econometric models and of computers in making econometrics operational are noted. The former has led to the theory of reduction as a ... More


On the Time‐Series Approach to Econometric Model Building

David F. Hendry

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:
10.1093/0198293542.003.0006
Subject:
Economics and Finance, Econometrics

The ‘time‐series’ approach to econometrics is critically evaluated, and analytical test power response surfaces presented. Non‐stationarity, differencing and ‘error‐correction’ models (though not yet ... More


Major Contributions of Econophysics to Financial Economics

Franck Jovanovic and Christophe Schinckus

in Econophysics and Financial Economics: An Emerging Dialogue

Published in print:
2017
Published Online:
December 2016
ISBN:
9780190205034
eISBN:
9780190205065
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190205034.003.0005
Subject:
Economics and Finance, Financial Economics

Chapter 5 identifies what the potential contributions of econophysics to financial economics. First of all, the way econophysics models are or could be used in trading rooms is discussed. Then the ... More


The Power Algorithm

S. N. Afriat

in The Index Number Problem: Construction Theorems

Published in print:
2014
Published Online:
April 2014
ISBN:
9780199670581
eISBN:
9780191773785
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670581.003.0003
Subject:
Economics and Finance, Econometrics, Microeconomics

This chapter discusses the power algorithm central to the proposed method for solving the Index Number Problem. It explains the construction of a fitting constant returns utility as provided by the ... More


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