AbstractThe issues of model comparison and evaluation in the presence of data revision are examined. The initial analysis revisits the model validity and data accuracy tests of Hendry ["Oxford Review of Economic Policy" (1994) Vol. 10, pp. 86-106] to develop the concept of model and vintage coalescence (MVC). A taxonomy of MVC tests is proposed, with the finite-sample properties of the tests examined via Monte Carlo simulation. The analysis proceeds to extend the encompassing principle [see Mizon and Richard, "Econometrica" (1986), Vol. 54, pp. 657-678; "Contributions to Operations Research and Econometrics: The XXth Anniversary of CORE", Hendry and Richard (1989) MIT Press, Cambridge, MA] to permit the comparison of econometric models developed upon alternative vintages of data. The resulting cross-data-vintage encompassing tests are discussed, with their finite-sample properties compared with those of conventional encompassing tests. The paper concludes by considering implications of the present analysis for econometric modelling. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 70 (2008)
Issue (Month): s1 (December)
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- Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010.
"Real-time Inflation Forecast Densities from Ensemble Phillips Curves,"
CAMA Working Papers
2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011. "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
- Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," Birkbeck Working Papers in Economics and Finance 0910, Birkbeck, Department of Economics, Mathematics & Statistics.
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