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The Encompassing Principle and Its Application to Testing Non-nested Hypotheses

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Cited by:

  1. Garret Christensen & Edward Miguel, 2018. "Transparency, Reproducibility, and the Credibility of Economics Research," Journal of Economic Literature, American Economic Association, vol. 56(3), pages 920-980, September.
  2. Martha Misas A. & Enrique López E., 2000. "La utilización de la capacidad instalada de la industria en Colombia: un nuevo enfoque," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 18(38), pages 5-44, December.
  3. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Imad Moosa, 1994. "Testing nonlinearities in purchasing power parity," Applied Economics Letters, Taylor & Francis Journals, vol. 1(3), pages 41-43.
  5. Gracia, Eduard, 2011. "Uncertainty and capacity constraints: Reconsidering the aggregate production function," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-50.
  6. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
  7. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper Series 4104, Department of Economics, Norwegian University of Science and Technology, revised 01 Jun 2004.
  8. Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Discussion Paper 1995-10, Tilburg University, Center for Economic Research.
  9. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
  10. Giacomini, Raffaella & Komunjer, Ivana, 2005. "Evaluation and Combination of Conditional Quantile Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 416-431, October.
  11. Farahani, Mansour & Subramanian, S.V. & Canning, David, 2009. "The effect of changes in health sector resources on infant mortality in the short-run and the long-run: A longitudinal econometric analysis," Social Science & Medicine, Elsevier, vol. 68(11), pages 1918-1925, June.
  12. Mohn, Klaus & Osmundsen, Petter, 2008. "Exploration economics in a regulated petroleum province: The case of the Norwegian Continental Shelf," Energy Economics, Elsevier, vol. 30(2), pages 303-320, March.
  13. Ripple, Ronald D. & Moosa, Imad A., 2009. "The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility," Global Finance Journal, Elsevier, vol. 20(3), pages 209-219.
  14. Andrews, Donald W K, 1989. "Power in Econometric Applications," Econometrica, Econometric Society, vol. 57(5), pages 1059-1090, September.
  15. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  16. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
  17. Klaus Abberger & Michael Graff & Oliver Müller & Boriss Siliverstovs, 2023. "Imputing Monthly Values for Quarterly Time Series: An Application Performed with Swiss Business Cycle Data," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(3), pages 241-273, November.
  18. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
  19. Burton, Diana M. & Love, H. Alan, 1996. "A Review of Alternative Expectations Regimes in Commodity Markets: Specification, Estimation, and Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Cambridge University Press, vol. 25(2), pages 213-231, October.
  20. Hendry, David F., 2018. "Deciding between alternative approaches in macroeconomics," International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
  21. Henrique Monteiro, 2010. "Residential Water Demand in Portugal: checking for efficiency-based justifications for increasing block tariffs," Working Papers Series 1 ercwp0110, ISCTE-IUL, Business Research Unit (BRU-IUL).
  22. Dalton, Timothy J., 2004. "A household hedonic model of rice traits: economic values from farmers in West Africa," Agricultural Economics, Blackwell, vol. 31(2-3), pages 149-159, December.
  23. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
  24. Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross‐country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December.
  25. Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
  26. Jurgen A. Doornik, 2008. "Encompassing and Automatic Model Selection," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 915-925, December.
  27. repec:ebl:ecbull:v:3:y:2004:i:28:p:1-4 is not listed on IDEAS
  28. Susanne M. Schennach & Daniel Wilhelm, 2017. "A Simple Parametric Model Selection Test," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1663-1674, October.
  29. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
  30. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," NBER Working Papers 2233, National Bureau of Economic Research, Inc.
  31. Larry Li & Imad Moosa, 2015. "Operational risk, the legal system and governance indicators: a country-level analysis," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2053-2072, April.
  32. repec:osf:metaar:9a3rw_v1 is not listed on IDEAS
  33. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
  34. de Brouwer, Gordon & Ericsson, Neil R, 1998. "Modeling Inflation in Australia," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 433-449, October.
  35. repec:zbw:bofrdp:1989_019 is not listed on IDEAS
  36. L W Hepple, 1995. "Bayesian Techniques in Spatial and Network Econometrics: 1. Model Comparison and Posterior Odds," Environment and Planning A, , vol. 27(3), pages 447-469, March.
  37. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
  38. Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023. "Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
  39. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
  40. Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
  41. Ashiya, Masahiro, 2007. "Forecast accuracy of the Japanese government: Its year-ahead GDP forecast is too optimistic," Japan and the World Economy, Elsevier, vol. 19(1), pages 68-85, January.
  42. Stefania Gabriele & Enrico D’Elia, 2019. "Labour and capital remuneration in the OECD countries," Working Papers LuissLab 19146, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  43. Jos Van Ommeren & Michiel Van Leuvensteijn, 2005. "New Evidence of the Effect of Transaction Costs on Residential Mobility," Journal of Regional Science, Wiley Blackwell, vol. 45(4), pages 681-702, November.
  44. Beenstock, Michael & Szpiro, George, 2002. "Specification search in nonlinear time-series models using the genetic algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 811-835, May.
  45. Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
  46. David F. Hendry, 2013. "Retrospective on ‘Econometric Modelling: The Consumption Function in Retrospect’, Scottish Journal of Political Economy, 30 (1983), 193–220'," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 523-525, November.
  47. Choe, Chongwoo & Moosa, Imad A., 1999. "Financial System and Economic Growth: The Korean Experience," World Development, Elsevier, vol. 27(6), pages 1069-1082, June.
  48. David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
  49. CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," LIDAM Discussion Papers CORE 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  50. Imad A. Moosa, 2015. "The random walk versus unbiased efficiency: can we separate the wheat from the chaff?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 38(2), pages 251-279, October.
  51. Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "When is Nonfundamentalness in SVARs a Real Problem?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
  52. I. A. Moosa & N. E. Al-Loughani, 2003. "The role of fundamentalists and technicians in the foreign exchange market when the domestic currency is pegged to a basket," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 79-84.
  53. Clive W.J. Granger, 1988. "2 Some Comments on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(4), pages 327-330, December.
  54. Carmine Trecroci & Juan Vega, 2002. "The information content of M3 for future inflation in the Euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 138(1), pages 22-53, March.
  55. Joseph G. Kowalski & Christos C. Paraskevopoulos, 1991. "The Impact of Spatial-Temporal Interactions on Industrial Land Values," Urban Studies, Urban Studies Journal Limited, vol. 28(4), pages 577-583, August.
  56. Richard, Jean-Francois, 1995. "Bayesian model selection and prediction with empirical applications discussion," Journal of Econometrics, Elsevier, vol. 69(1), pages 337-349, September.
  57. Alessandro Mechelli & Riccardo Cimini, 2013. "Assessing value relevance of comprehensive income in European banks and other financial institutions," FINANCIAL REPORTING, FrancoAngeli Editore, vol. 2013(1), pages 13-41.
  58. Peter Fallesen & Richard Breen, 2016. "Temporary Life Changes and the Timing of Divorce," Demography, Springer;Population Association of America (PAA), vol. 53(5), pages 1377-1398, October.
  59. Imad Moosa & Sulaiman Al-Abduljader, 2010. "A test of the news model of stock price determination in an emerging market: the case of Kuwait," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 397-405.
  60. Dastoor, Naorayex K. & Fisher, Gordon, 1988. "The Theory and Practice of Point-Optimal Testing," Queen's Institute for Economic Research Discussion Papers 275213, Queen's University - Department of Economics.
  61. Jim Malley & Hassan Molana, 2002. "The Life-Cycle-Permanent-Income Model: A Reinterpretation and Supporting Evidence," Working Papers 2002_17, Business School - Economics, University of Glasgow.
  62. Otsu, Taisuke & Whang, Yoon-Jae, 2011. "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, vol. 27(1), pages 114-153, February.
  63. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
  64. Haiyan Song & Gang Li & Stephen F. Witt & Baogang Fei, 2010. "Tourism Demand Modelling and Forecasting: How Should Demand Be Measured?," Tourism Economics, , vol. 16(1), pages 63-81, March.
  65. Holm, Pasi & Honkapohja, Seppo & Koskela, Erkki, 1990. "A monopoly union model of wage determination with taxes and endogenous capital stock : an empirical application to the finnish manufacturing industry," Research Discussion Papers 24/1990, Bank of Finland.
  66. Ericsson, Neil R. & Campos, Julia & Tran, Hong-Anh, 1990. "Pc-Give and David Hendry'S Econometric Methodology," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 10(1), April.
  67. D. R. Cox, 2013. "A return to an old paper: ‘Tests of separate families of hypotheses’," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 207-215, March.
  68. Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
  69. Taisuke Otsu & Martin Pesendorfer & Yuya Takahashi, 2016. "Pooling data across markets in dynamic Markov games," Quantitative Economics, Econometric Society, vol. 7(2), pages 523-559, July.
  70. Alexandra L. Swirski & Hind Kasab-Bachi & Jocelyn Rivers & Jeffrey B. Wilson, 2020. "Data Driven Enhancements to the Intestinal Integrity (I 2 ) Index: A Novel Approach to Support Poultry Sustainability," Agriculture, MDPI, vol. 10(8), pages 1-13, August.
  71. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
  72. Pérez Rodríguez, Jorge V. & Murillo Fort, Carlos, 1997. "Contrastes de especificación para los modelos de varianza Heterocedástica condicionada," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 7, pages 101-129, Junio.
  73. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
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  75. David F. Hendry & Neil R. Ericsson, 1999. "Encompassing and rational expectations: How sequential corroboration can imply refutation," Empirical Economics, Springer, vol. 24(1), pages 1-21.
  76. Jim Malley & Hassan Molana, 1999. "The Permanent Income Hypothesis Revisited," Dundee Discussion Papers in Economics 105, Economic Studies, University of Dundee.
  77. Neil R. Ericsson, 2008. "The Fragility of Sensitivity Analysis: An Encompassing Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 895-914, December.
  78. Baehre, Sven & O'Dwyer, Michele & O'Malley, Lisa & Story, Vicky M, 2022. "Customer mindset metrics: A systematic evaluation of the net promoter score (NPS) vs. alternative calculation methods," Journal of Business Research, Elsevier, vol. 149(C), pages 353-362.
  79. Phipps , Shelley & Lethbridge, Lynn, 2006. "Income and the Outcomes of Children," Analytical Studies Branch Research Paper Series 2006281e, Statistics Canada, Analytical Studies Branch.
  80. Elia Lapenta & Pascal Lavergne, 2022. "Encompassing Tests for Nonparametric Regressions," Papers 2203.06685, arXiv.org, revised Oct 2023.
  81. Schreiber Sven, 2008. "The Hausman Test Statistic can be Negative even Asymptotically," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(4), pages 394-405, August.
  82. Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
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  88. Christophe Bontemps & Jean‐Pierre Florens & Jean‐François Richard, 2008. "Parametric and Non‐parametric Encompassing Procedures," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 751-780, December.
  89. John Sequeira & Michael McAleer, 2000. "A market-augmented model for SIMEX Brent crude oil futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 543-552.
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  93. Moosa, Imad A. & Ma, Ming, 2018. "Linear and Nonlinear Attractors in Purchasing Power Parity," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 149-172.
  94. Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015. "Statistical model selection with “Big Data”," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
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  103. Maozu Lu & Grayham E. Mizon & Chiara Monfardini, 2008. "Simulation Encompassing: Testing Non‐nested Hypotheses," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 781-806, December.
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