Specifying and testing output and pricing structures of alternative macroeconomic models
Article Abstract:
A framework for helping economic modellers make a more informed selection between alternative models is proposed. The framework is used for specifying a model with importable, exportable and non-traded goods. A simple two-stage test is then used to choose a particular model structure based on economic data. The test is not foolproof, so modellers will still have to use common sense and knowledge of the economic features of a certain country to determine the appropriate theoretical models.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1996
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On comparing macroeconomic models using forecast encompassing tests
Article Abstract:
Studies have revealed that the forecast encompassing test has an implicit null hypothesis that combines elements of parameter constancy and parametric encompassing. It has also been found that forecast encompassing is only a necessary condition for parameter constancy and parametric encompassing. Forecasting encompassing tests are ideal for evaluating and comparing macroeconomic models. The use of regression-based techniques can benefit forecast performance evaluation.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1996
User Contributions:
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On comparing macroeconomic models using forecast encompassing tests
Article Abstract:
The macroeconometric model comparison method proposed by Y.Y. Chong and D.F. Hendry in 1986 is examined. The method calls for the use of forecast encompassing regressions, where outturns are regressed on competing forecasts. Results show that forecast encompassing tests are incapable of separating a model from another based on one-year-ahead forecasts. Although all models win once, conclusions do not match those based on root-mean-square-forecast-error criteria.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
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