Now showing items 1-3 of 3
Non-nested Model Selection/Validation: Making Credible Postsample Inference Feasible
(Virginia Tech, 1995-04)
Effective, credible inference with respect to the postsample forecasting performance of time series models is widely held to be infeasible. Consequently, the model selection and Granger-causality literatures have focussed ...
An Elementary Method for Detecting and Modeling Regression Parameter Variation Across Frequences With an Application to Testing the Permanent Income Hypothesis
(Virginia Tech, 1997-03)
A simple technique for directly testing the parameters of a time series regression model for instability across frequencies is presented. The method can be easily implemented in the time domain, so parameter instability ...
International Evidence On The Oil Price-Real Output Relationship: Does Persistence Matter?
(Virginia Tech, 2013-08-28)
The literature on the relationship between real output growth and the growth rate in the price of oil, including an allowance for asymmetry in the impact of oil prices on output, continues to evolve. Here we show that a ...