Advanced Search
MyIDEAS: Login

Cross-data-vintage Encompassing


Author Info

  • Steve Cook
Registered author(s):


    The 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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article 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)
    Pages: 849-865

    as in new window
    Handle: RePEc:bla:obuest:v:70:y:2008:i:s1:p:849-865

    Contact details of provider:
    Postal: Manor Rd. Building, Oxford, OX1 3UQ
    Web page:
    More information through EDIRC

    Order Information:

    Related research



    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:70:y:2008:i:s1:p:849-865. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.