07350015%2E2012%2E707586
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Each of these three benchmarks has its own virtues: the AR(1) model is a standard benchmark in the forecasting literature; the ADL(1,1) model allows us to assess the ability of
The proposed test procedure is based on finite- sample pivots that are valid without any parametric assumptions about the specific distribution of the disturbances in the multi-
Suitably modified versions of these tests conducted on the sequence of forecasts or forecast revisions recorded at different horizons can be used to test the internal
Note that even though PT did not consider the Nordhaus test in their experiments, their bounds test that the variance of the forecast revision should not exceed twice the
One way to study the finite sample performance of the new forecast rationality tests is to use the bootstrap reality check of White ( 2000 ) or the refinement proposed by Hansen (
In particular, the ordinary least squares estimate of the coefficient of total expenditures was 0.124, the two-stage least squares estimate using income as an instrument was 0.172,
In the first part of the arti- cle, we propose a new reduced-form model in discrete time , the Leverage Heterogeneous Auto-Regressive with Continuous volatility and Jumps
We focus on the characteristics and dynamics of bear market rallies and bull market corrections, including, for example, the probability of transition from a bear market rally into
