In this paper we systematically review and develop nonparametric estimation and testing techniques in the context of econometric models. The results are discussed under the settings of regression model and kernel estimation, although as indicated in the paper these results can go through for other econometric models and for the nearest neighbor estimation. A nontechnical survey of the asymptoti...

A very general test statistic for contrasting two nested or nonnested dynamic nonlinear econometric models is presented. It is based on the idea of testing the specification of the first model by using the second model to generate moment conditions for the efficient method of moments (EMM) estimation procedure. The testing procedure also provides guidance as to what aspects of the model should ...

The Lucas Critique of Econometric Policy Evaluation argues that the parameters of econometric models are subject to theoretical cross-equation restrictions which follow from the fact that the endogenous variables of the models are chosen optimally by forward-looking agents. In this paper I argue that these facts alone are insufficient to generate such restrictions. I present an example of a mod...

strength and duration, that have, so far, characterized economic activity. January 31, 2001: Preliminary real GDP growth for the fourth quarter is barely above 1 percent, more than 4 percentage points below what is was only two quarters before and about 7 percentage points below its level in the third quarter of 1999. Much of the press, and some forecasters, predict that the first quarter of 20...

One important feature of econometric macro-models is their structural equations include several identities. The main aim of this paper is to attempt a critical look at the nature and role of identities in empirical modeling. The argument, in a nutshell, is that most of the identities included as an integral part of the model are just accounting identities that have no place in such models. This...

the continuum based approaches don’t provide the correct physics in atomic scales. on the other hand, the molecular based approaches are limited by the length and simulated process time. as an attractive alternative, this paper proposes the fixed interfacial multiscale method (fimm) for computationally and mathematically efficient modeling of solid structures. the approach is applicable to mult...

This chapter is concerned with modeling the economic linkages among countries. Although there are by now a number of multicountry macroeconometric models in existence, it seems safe to say with respect to the treatment of capital Rows and exchange rates that econometric work has not kept pace with theoretical developments. Since Mundell’s pioneering theoretical work (1968) in the 1960s. the pot...

The paper suggests and studies count data models corresponding to previously studied spatial econometric models for continuous variables. A novel way of incorporating spatial weights is considered for both time and space dynamic models with or without simultaneity. The paper also contains a brief discussion about estimation issues.

We propose a method for modifying a given density forecast in a way that incorporates the information contained in theory-based moment conditions. An example is "improving" the forecasts from atheoretical econometric models, such as factor models or Bayesian VARs, by ensuring that they satisfy theoretical restrictions given for example by Euler equations or Taylor rules. The method yields a new...

Structural models are models for empirical work that have parameters stable to changes in the economic environment. In structural econometric models, economic theory is used to develop mathematical statements about how a set of observable “endogenous” variables are related to another set of observable “exogenous” variables. Examples for structural modeling include demand analysis, schooling cho...