On theory testing in econometrics : Modeling with nonexperimental data
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-563, September.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Spanos, Aris, 1994. "On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 10(2), pages 286-315, June.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Spanos, Aris, 1989. "Early Empirical Findings on the Consumption Function, Stylized Facts or Fiction: A Retrospective View," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 150-169, January.
- A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Spanos, Aris, 1989. "On Rereading Haavelmo: A Retrospective View of Econometric Modeling," Econometric Theory, Cambridge University Press, vol. 5(3), pages 405-429, December.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Zellner, Arnold, 1979. "Causality and econometrics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 9-54, January.
- Hausman,Daniel M., 1992. "The Inexact and Separate Science of Economics," Cambridge Books, Cambridge University Press, number 9780521415019, December.
- Hausman,Daniel M., 1992. "The Inexact and Separate Science of Economics," Cambridge Books, Cambridge University Press, number 9780521425230, December.
- Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124, November.
- Van Praag, Bernard M. S. & Wesselman, Bertram M., 1989. "Elliptical multivariate analysis," Journal of Econometrics, Elsevier, vol. 41(2), pages 189-203, June.
- Spanos, Aris, 1990. "The simultaneous-equations model revisited : Statistical adequacy and identification," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 87-105.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
Cambridge University Press, number 9780521779654, January.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, November.
- Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
- Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005.
"Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"
Working Papers
0501, University of Crete, Department of Economics.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
- Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, November.
- Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014.
"Time Series Models for Business and Economic Forecasting,"
Cambridge Books,
Cambridge University Press, number 9780521520911, November.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, November.
- LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
- Stavros Degiannakis & Evdokia Xekalaki, 2005.
"Predictability and model selection in the context of ARCH models,"
Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 21(1), pages 55-82, January.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2005. "Predictability and Model Selection in the Context of ARCH Models," MPRA Paper 80486, University Library of Munich, Germany.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
- Ana Filipa Carvalho & Jose Sa da Costa & Jose Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 819-833.
- Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May.
- Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Alagidede, Paul & Panagiotidis, Theodore, 2009.
"Modelling stock returns in Africa's emerging equity markets,"
International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
- Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
- Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
- Aggarwal, Divya, 2019. "Do bitcoins follow a random walk model?," Research in Economics, Elsevier, vol. 73(1), pages 15-22.
- Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004.
"The Use of GARCH Models in VaR Estimation,"
MPRA Paper
96332, University Library of Munich, Germany.
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2010. "The Use of GARCH Models in VaR Estimation," Working Papers 0048, University of Peloponnese, Department of Economics.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107034723, November.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, November.
- N. Antonakakis & J. Darby, 2013.
"Forecasting volatility in developing countries' nominal exchange returns,"
Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1675-1691, November.
- Antonakakis, Nikolaos & Darby, Julia, 2012. "Forecasting Volatility in Developing Countries' Nominal Exchange Returns," MPRA Paper 40875, University Library of Munich, Germany.
- Ntebogang Dinah Moroke, 2015. "An Optimal Generalized Autoregressive Conditional Heteroscedasticity Model for Forecasting the South African Inflation Volatility," Journal of Economics and Behavioral Studies, AMH International, vol. 7(4), pages 134-149.
- Stephen Kawas & Everton Dockery, 2023. "What do we know about the stock markets’ reaction to regulatory announcements regarding financial institutions? Evidence from UK financial institutions," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 31-67, January.
Corrections
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:eee:econom:v:67:y:1995:i:1:p:189-226. See general information about how to correct material in RePEc.
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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.