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广义矩方法与宏观经济学
We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research.
预测依赖估计回归参数时的预测涵盖性检验
This article presents analytical and simulation results on the properties of two tests for forecast encompassing, allowing throughout for dependence of the forecasts on estimated regression parameters. One test, which was intended for forecasts that do not depend on regression parameters, was developed by Harvey, Leybourne, and Newbold. This test works relatively well when the size of the sample of forecast errors is very small. A second test, which explicitly accounts for…