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An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification

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  • Grayham E. Mizon
  • David F. Hendry

Abstract

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Suggested Citation

  • Grayham E. Mizon & David F. Hendry, 1980. "An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 21-45.
  • Handle: RePEc:oup:restud:v:47:y:1980:i:1:p:21-45.
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    File URL: http://hdl.handle.net/10.2307/2297102
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    Citations

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    Cited by:

    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 691-707.
    2. Kodde, D.A. & Palm, F.C., 1982. "Computing wald criteria for nested hypotheses with Econometric Applications," Serie Research Memoranda 0027, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Broersma, L., 1991. "The relation between unemployment and interest rate : application of an ARX approach," Serie Research Memoranda 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. David F. Hendry, 2013. "Econometric Modelling: The ‘Consumption Function’ In Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
    5. Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Temporal Aggregation, Causality Distortions, and a Sign Rule," Departmental Working Papers wp0406, National University of Singapore, Department of Economics.
    6. Broersma, L., 1991. "The relation between unemployment and interest rate : application of a seasonal Unit Root Test Procedure," Serie Research Memoranda 0068, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    7. Godfrey, L. G. & Veall, M. R., 1998. "Bootstrap-based critical values for tests of common factor restrictions," Economics Letters, Elsevier, vol. 59(1), pages 1-5, April.
    8. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
    9. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
    10. Phillips, P C B, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 344-359, December.
    11. repec:sbe:breart:v:12:y:1992:i:2:a:2990 is not listed on IDEAS
    12. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    13. Richard Palmer-Jones & Ashok Parikh, 1998. "The Determination of Agricultural Wage Rates in Bangladesh," Journal of Agricultural Economics, Wiley Blackwell, vol. 49(1), pages 111-133.
    14. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.
    15. Kodde, D.A. & Palm, F.C., 1985. "Computing wald criteria for nested hypotheses," Serie Research Memoranda 0016, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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