IDEAS home Printed from
   My bibliography  Save this article

Econometric Evaluation of Linear Macro-Economic Models


  • Yock Y. Chong
  • David F. Hendry


Macro-economic models are generally designed to achieve a multiplicity of objectives and correspondingly, they have been evaluated using a vast range of statistical, econometric, economic, political and even aesthetic criteria. However, in so far as they claim to represent economic behaviour, empirical macro-economic systems are certainly open to direct evaluation and testing against data information. The last few years have witnessed a substantial growth in the literature on econometric evaluation techniques, but despite important improvements in formalising evaluation procedures and their increased scope, formidable problems confront any investigation of a high dimensional, non-linear, stochastic, dynamic structure. Since system characteristics are the prime concern of economy-wide models, it might be the case that the validity of every individual component is not essential to adequate overall performance. While this viewpoint is debatable it does draw attention to the need for system evaluation procedures, at which point data limitations pose serious constraints on formal tests. Thus a new "limited information" test of forecast encompassing is proposed, based only on forecasts and requiring no other data from a model's proprietors. The derivation, merits and drawbacks of such a test are presented together with some suggestions for testing entailed relationships and inter-equation feedbacks.

Suggested Citation

  • Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 671-690.
  • Handle: RePEc:oup:restud:v:53:y:1986:i:4:p:671-690.

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:53:y:1986:i:4:p:671-690.. 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: (Oxford University Press) or (Christopher F. Baum). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.