Titlebook: Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis; Essays in Honor of H Xiaohong Chen,Norman R. Sw

走调

发起

Hal White: Time at MIT and Early Days of Research,rantees. Hal was among my first three Ph.D. students at MIT who are Roger Gordon, Hal White, and Paul Krugman. Since my first and only job has been at MIT, I found this supervision enjoyable and remarkably easy. However, using these three sample points to predict the future would have been grossly i

Derogate

Open-Model Forecast-Error Taxonomies, system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in dynamics can induce forecast failure when they have nonzero means. The additional impact on forecast failure of incorrectly omitting such variables depends only on u

prediabetes

Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form,tion the model errors must have a finite mean, and otherwise only need to have a fractional moment. If the errors have an infinite variance then in principle any consistent plug-in is allowed, depending on the model, including those with non-Gaussian limits and/or a sub-.-convergence rate. One test

混合

FATAL

老人病学

Estimating Misspecified Moment Inequality Models,ecomes difficult to interpret the conventional identified set. Even more seriously, this can be an empty set. We define a pseudo-true identified set whose elements can be interpreted as the least-squares projections of the moment functions that are observationally equivalent to the true moment funct

inhibit

Model Adequacy Checks for Discrete Choice Dynamic Models,tion, which is often the case in applied work. In particular, we consider the correct specification of parametric conditional distributions in dynamic discrete choice models, not only of some particular conditional characteristics such as moments or symmetry. Knowing the true distribution is importa

独轮车

落叶剂

Predictability and Specification in Models of Exchange Rate Determination,any set of conditioning variables, we find parametric specifications fail. Our findings are based on a broad entropy function of the whole distribution of variables and forecasts. We also find significant evidence of nonlinearity and/or “higher moment” influences which seriously questions the habit