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

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Book 2013 a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical

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Optimizing Robust Conditional Moment Tests: An Estimating Function Approach,mality without sacrificing robustness in estimating and testing partial specifications. We illustrate our method using various partial specifications and demonstrate the improved power property of the optimized tests by simulations.

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A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastischemes, drawing on Corradi and Swanson (Int Econ Rev 48:67–109, 2007a). We then review recent extensions to the evaluation of multiple confidence intervals and predictive densities, for both the case of a known conditional distribution Corradi and Swanson (J Econ 135:187–228, 2006a; Handbook of eco

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New Directions in Information Matrix Testing: Eigenspectrum Tests,power of these new GIMTs using simulation studies on realistic epidemiological data and find that they exhibit appealing performance on sample sizes typically encountered in practice. Our results suggest that these new GIMTs are important tools for detecting and assessing model misspecification, and

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Predictability and Specification in Models of Exchange Rate Determination,ts suggest significant differences between the observed densities and their in- and out- of sample forecasts and fitted values. Much like the Diebold-Mariano approach, we are able to report statistical significance of the differences with our more general measures of forecast performance.

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NoVaS Transformations: Flexible Inference for Volatility Forecasting,ber of real data sets and compare it to realized and range-based volatility measures. Our empirical results show that the NoVaS -based forecasts lead to a much ‘tighter’ distribution of the forecasting performance measure. Perhaps our most remarkable finding is the . of the NoVaS forecasts in the co

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ok will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index m978-1-4899-9971-9978-1-4614-1653-1