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Citations for "Model selection tests for nonlinear dynamic models"

by Douglas Rivers & Quang Vuong

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  1. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
  2. Jes�s Fern�ndez-Villaverde & Juan F. Rubio-Ram�rez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  3. Raffaella Giacomini & Barbara Rossi, 2009. "Model Comparisons in Unstable Environments," Working Papers 09-10, Duke University, Department of Economics.
  4. Marmer, Vadim & Otsu, Taisuke, 2012. "Optimal comparison of misspecified moment restriction models under a chosen measure of fit," Journal of Econometrics, Elsevier, vol. 170(2), pages 538-550.
  5. Chidmi, Benaissa & Lopez, Rigoberto A., 2007. "The Role of Retail Services in Food Market Equilibrium," 2007 1st Forum, February 15-17, 2007, Innsbruck, Austria 6579, International European Forum on Innovation and System Dynamics in Food Networks.
  6. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  7. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008. "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Microeconomics.ca working papers vadim_marmer-2008-14, Vancouver School of Economics, revised 28 Sep 2011.
  8. Cohen, Michael, 2010. "Determining the Impact of Retailer Store Brand Procurement on Vertical Relationships with Brand Manufacturers and on Market Equilibrium," Research Reports 149968, University of Connecticut, Food Marketing Policy Center.
  9. Bonnet, Céline & Dubois, Pierre & Villas Boas, Sofia B., 2009. "Empirical Evidence on the Role of Non Linear Wholesale Pricing and Vertical Restraints on Cost Pass-Through," IDEI Working Papers 565, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2011.
  10. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper 2007-04, Federal Reserve Bank of Atlanta.
  11. Céline Bonnet & Pierre Dubois, 2010. "Inference on vertical contracts between manufacturers and retailers allowing for nonlinear pricing and resale price maintenance," RAND Journal of Economics, RAND Corporation, vol. 41(1), pages 139-164.
  12. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
  13. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2009. "Supplement to "Comparison of Misspecified Calibrated Models"," Microeconomics.ca working papers vadim_marmer-2009-58, Vancouver School of Economics, revised 03 Feb 2011.
  14. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
  15. Bonnet, Céline & Dubois, Pierre & Simioni, Michel, 2004. "Two-Part Tariffs versus Linear Pricing between Manufacturers and Retailers: Empirical Tests on Differentiated Products Markets," IDEI Working Papers 370, Institut d'Économie Industrielle (IDEI), Toulouse, revised Apr 2006.
  16. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  17. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.
  19. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
  20. Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
  21. Mur, Jesús & Angulo, Ana, 2009. "Model selection strategies in a spatial setting: Some additional results," Regional Science and Urban Economics, Elsevier, vol. 39(2), pages 200-213, March.
  22. Hovhannisyan, Vardges & Stiegert, Kyle W., 2011. "Vertical Channel Analysis of the U.S. Milk Market," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103631, Agricultural and Applied Economics Association.
  23. Bonnet, Céline & Réquillart, Vincent, 2013. "Tax incidence with strategic firms in the soft drink market," Journal of Public Economics, Elsevier, vol. 106(C), pages 77-88.
  24. Michel, Christian, 2013. "Identification and Estimation of Intra-Firm and Industry Competition via Ownership Change," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80488, Verein für Socialpolitik / German Economic Association.
  25. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
  26. Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014. "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, vol. 178(P3), pages 539-557.
  27. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc.
  28. R. Golden, 2003. "Discrepancy Risk Model Selection Test theory for comparing possibly misspecified or nonnested models," Psychometrika, Springer, vol. 68(2), pages 229-249, June.
  29. Eric French & John Bailey Jones, 2004. "On the distribution and dynamics of health care costs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(6), pages 705-721.
  30. 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.
  31. Marc Rysman & Gautam Gowrisankaran, 2011. "Dynamics of Consumer Demand for New Durable Goods," Boston University - Department of Economics - Working Papers Series WP2011-062, Boston University - Department of Economics.
  32. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
  33. Jesús Mur & Ana Angulo, 2007. "Clues for discriminating between moving average and autoregressive models in spatial processes," Spanish Economic Review, Springer, vol. 9(4), pages 273-298, December.
  34. Doraszelski, Ulrich & Jaumandreu, Jordi, 2008. "R&D and Productivity: Estimating Production Functions when Productivity is Endogenous," CEPR Discussion Papers 6636, C.E.P.R. Discussion Papers.
  35. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Chaubert, F. & Mortier, F. & Saint André, L., 2008. "Multivariate dynamic model for ordinal outcomes," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1717-1732, September.
  37. Molnar, Jozsef & Violi, Roberto & Zhou, Xiaolan, 2013. "Multimarket contact in Italian retail banking: Competition and welfare," International Journal of Industrial Organization, Elsevier, vol. 31(5), pages 368-381.
  38. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
  39. Christopher Douglas & Ana Mar�a Herrera, 2010. "Why are gasoline prices sticky? A test of alternative models of price adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 903-928.
  40. Bonnet, Céline & Réquillart, Vincent, 2013. "Sugar Policy Reform, Tax Policy and Price Transmission in the Soft Drink Industry," TSE Working Papers 13-373, Toulouse School of Economics (TSE).
  41. Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," PIER Working Paper Archive 12-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  42. Philip G. Gayle, 2013. "On the Efficiency of Codeshare Contracts between Airlines: Is Double Marginalization Eliminated?," American Economic Journal: Microeconomics, American Economic Association, vol. 5(4), pages 244-73, November.
  43. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
  44. Kawakatsu, Hiroyuki, 2006. "Matrix exponential GARCH," Journal of Econometrics, Elsevier, vol. 134(1), pages 95-128, September.
  45. Susanne Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers CWP10/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  46. Jarrow, Robert & Kwok, Simon, 2013. "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics.
  47. Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126056, International Association of Agricultural Economists.
  48. Karunaratne, Neil Dias & Bhar, Ramprasad, 2011. "Regime-shifts and post-float inflation dynamics of Australia," Economic Modelling, Elsevier, vol. 28(4), pages 1941-1949, July.
  49. Douglas, Christopher C. & Kolar, Marek, 2009. "Capturing the time dynamics of central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 950-968, December.
  50. Christian, Michel, 2013. "Identification and Estimation of Intra-Firm and Industry Competition via Ownership Change," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 409, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  51. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
  52. Jiménez-Gamero, M.D. & Pino-Mejías, R. & Alba-Fernández, V. & Moreno-Rebollo, J.L., 2011. "Minimum [phi]-divergence estimation in misspecified multinomial models," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3365-3378, December.
  53. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods and Applications, Springer, vol. 21(3), pages 315-334, August.
  54. 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.
  55. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  56. Bonnet, Celine & Requillart, Vincent, 2010. "Is The Eu Sugar Policy Reform Likely To Increase Obesity?," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany 116414, European Association of Agricultural Economists & Agricultural and Applied Economics Association.
  57. Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers 0419, Vanderbilt University Department of Economics, revised Sep 2004.
  58. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  59. Chidmi, Benaissa & Lopez, Rigoberto A. & Cotterill, Ronald W., 2009. "The Retail Service, The Market Power, and the Vertical Relationships in Breakfast Cereals Industry," 2009 Conference, August 16-22, 2009, Beijing, China 51770, International Association of Agricultural Economists.