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Cross‐data‐vintage Encompassing

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  • Steve Cook

Abstract

The issues of model comparison and evaluation in the presence of data revision are examined. The initial analysis revisits the model validity and data accuracy tests of Hendry [Oxford Review of Economic Policy (1994) Vol. 10, pp. 86–106] to develop the concept of model and vintage coalescence (MVC). A taxonomy of MVC tests is proposed, with the finite‐sample properties of the tests examined via Monte Carlo simulation. The analysis proceeds to extend the encompassing principle [see Mizon and Richard, Econometrica (1986), Vol. 54, pp. 657–678; Contributions to Operations Research and Econometrics: The XXth Anniversary of CORE, Hendry and Richard (1989) MIT Press, Cambridge, MA] to permit the comparison of econometric models developed upon alternative vintages of data. The resulting cross‐data‐vintage encompassing tests are discussed, with their finite‐sample properties compared with those of conventional encompassing tests. The paper concludes by considering implications of the present analysis for econometric modelling.

Suggested Citation

  • Steve Cook, 2008. "Cross‐data‐vintage Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 849-865, December.
    • Handle: RePEc:bla:obuest:v:70:y:2008:i:s1:p:849-865
    DOI: 10.1111/j.1468-0084.2008.00533.x
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    2. Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011. "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.

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