We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Cross-data-vintage Encompassing.
- Authors
Cook, Steve
- Abstract
The issues of model comparison and evaluation in the presence of data revision are examined. The initial analysis revisits the model validity and data accuracy tests of Hendry [ Oxford Review of Economic Policy (1994) Vol. 10, pp. 86–106] to develop the concept of model and vintage coalescence (MVC). A taxonomy of MVC tests is proposed, with the finite-sample properties of the tests examined via Monte Carlo simulation. The analysis proceeds to extend the encompassing principle [see Mizon and Richard, Econometrica (1986), Vol. 54, pp. 657–678; Contributions to Operations Research and Econometrics: The XXth Anniversary of CORE, Hendry and Richard (1989) MIT Press, Cambridge, MA] to permit the comparison of econometric models developed upon alternative vintages of data. The resulting cross-data-vintage encompassing tests are discussed, with their finite-sample properties compared with those of conventional encompassing tests. The paper concludes by considering implications of the present analysis for econometric modelling.
- Publication
Oxford Bulletin of Economics & Statistics, 2008, Vol 70, p849
- ISSN
0305-9049
- Publication type
Academic Journal
- DOI
10.1111/j.1468-0084.2008.00533.x