This paper considers the problem of speci cation testing in general parametric models and shows that for a wide class of models the hypothesis of correct speci cation is equivalent to a continuum of moment equalities. Using these moment equalities we construct a class of speci cation tests that have correct asymptotic size in general parametric models, including stationary time series models, a...

A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples The probability of selection into treatment plays an important role in matching and selection models. However, this probability can often not be consistently estimated, because of choicebased sampling designs with unknown sampling weights. This note establishes that the selection and matching procedures ca...

International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet wellestablished statistical systems may be incomplete, the bridging of data gaps is a crucial challenge. This paper investigates data structures and missing data patterns in the crosssectional time series framework, reviews...

When bidders anticipate an opportunity for resale trade, tlze value of winning an auction is determined in part by the option values of buying and selling in tlze secondary market. One iinplication is that a bidder's willingness to pa)) at an auction increases with the expected level of competition between resale buyers. Empirical evidence from auctions of timber contracts supports this predict...

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of selection bias. Specifically, they propose a Wald test for the null hypothesis that there is no selection bias. Under rejection of the null hypothesis, the aut...

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi–step predictions from both non-nested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time, revised nature of the data. Monte Carlo simulations indicate that our asymptotic approximations yield r...

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated systems and discusses some of the possible ways advanced in the literature for dealing with them. The...

In this paper, we develop and apply certain tools to evaluate the strengths and weaknesses of dynamic stochastic general equilibrium (DSGE) models. In particular, this paper makes three contributions: One, it argues the need for such tools to evaluate the usefulness of the these models; two, it defines these tools which take the form of prior and particularly posterior predictive analysis and p...

The article examines the spillover effect of transition to renewable energy on different financial markets: specifically, stock market. research paper analyzes prices and dynamics oil-related assets funds, as well reviews literature topic in order evaluate most important factors development these industries. utilizes methods correlation analysis, analysis variance, regression standards deviatio...

This paper investigates the usefulness of information criteria for inference on the number of structural breaks in a standard linear regression model. In particular, we propose a modified penalty function for such criteria based on theoretical arguments, which implies each break is equivalent to estimation of three individual regression coefficients. A Monte Carlo analysis compares information ...