Now showing items 1-2 of 2
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 ...