A new technique for postsample model selection and validation

DOI10.1016/S0165-1889(97)00085-7zbMath0899.90041OpenAlexW2056886634MaRDI QIDQ1129270

Richard A. Ashley

Publication date: 13 August 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00085-7

zbMATH Keywords

Granger-causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Asymptotics for out of sample tests of Granger causality ⋮ Estimating the long rate and its volatility ⋮ Tests of equal forecast accuracy and encompassing for nested models ⋮ Modelling long-run trends and cycles in financial time series data

Cites Work

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• Simulated power functions
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• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. With a comment by J. A. Hartigan and a rejoinder by the authors
• Prepivoting to reduce level error of confidence sets
• Advertising and Aggregate Consumption: An Analysis of Causality

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