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Testing, encompassing and simulating dynamic econometric models

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  • Gouriéroux, Christian
  • Monfort, Alain

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Bibliographic Info

Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9406.

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Length: 43 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:cpm:cepmap:9406

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Cited by:
  1. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 95, CREFE, Université du Québec à Montréal.
  2. Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1746, Econometric Society.
  3. Gunter Coenen & Volker Wieland, 2000. "A Simple Estimated Euro Area Model With Rational Expectations And Nominal Rigidities," Computing in Economics and Finance 2000, Society for Computational Economics 187, Society for Computational Economics.
  4. Coenen, Guenter & Wieland, Volker, 2003. "A Small Estimated Euro Area Model with Rational Expectations and Nominal Rigidities," CFS Working Paper Series, Center for Financial Studies (CFS) 2003/08, Center for Financial Studies (CFS).
  5. Jin, Fei & Lee, Lung-fei, 2013. "Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 43(4), pages 590-616.
  6. Steven Cook, 2005. "On the semantic approach to econometric methodology," Journal of Economic Methodology, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(1), pages 117-123.
  7. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
  8. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 959, Board of Governors of the Federal Reserve System (U.S.).
  9. Bontemps, Christophe & Mizon, Grayham E., 2001. "Congruence and encompassing," Discussion Paper Series In Economics And Econometrics, Economics Division, School of Social Sciences, University of Southampton 0107, Economics Division, School of Social Sciences, University of Southampton.
  10. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
  11. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, Elsevier, vol. 136(2), pages 397-430, February.
  12. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
  13. Ramdan Dridi & Eric Renault, 2000. "Semi-Parametric Indirect Inference," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2000/392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

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