By Takeshi Amemiya, Dongseok Kim (auth.), Ingo Klein, Stefan Mittnik (eds.)

ISBN-10: 1441953310

ISBN-13: 9781441953315

ISBN-10: 1475736029

ISBN-13: 9781475736021

The box of econometrics has undergone striking adjustments over the past thirty-five years. Widening its prior specialise in trying out macroeconomic theories, it has turn into a slightly accomplished self-discipline concemed with the advance of statistical equipment and their software to the total spectrum of financial information. This improvement turns into obvious while the biography of an econometrician whose illustrious learn and educating occupation all started approximately thirty-five years in the past and who will retire very quickly after his sixty fifth birthday. this is often Gerd Hansen, professor of econometrics on the Christian Albrechts collage at Kiel and to whom this quantity with contributions from colleagues and scholars has been committed. He has formed the econometric panorama in and past Germany all through those thirty-five years. on the finish of the Sixties he built one of many first econometric versions for the German econ­ omy which adhered c10sely to the traditions placed forth by means of the Cowles commission.

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F. (1970). Efficient Capital Markets: A Review ofTheory and Empirical Work. Journal ofFinance, 25:383-417. Gil-Peleaz, J. (1951). Note on the Inversion Theorem. Biometrika, 38:481-482. Hall, R. E. (1978). Stochastic Implications ofthe Life Cycie-Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy, 86:971987. Hansen, G. (1988). Analyse ökonomischer Gleichgewichte und cointegrierter Zeitreihen. Allgemeines Statistisches Archiv, 72:337-358. Hansen, G. (1990). Die Persistenz der Arbeitslosigkeit: eine theoretische und empirische Analyse.

Fama, E. F. (1970). Efficient Capital Markets: A Review ofTheory and Empirical Work. Journal ofFinance, 25:383-417. Gil-Peleaz, J. (1951). Note on the Inversion Theorem. Biometrika, 38:481-482. Hall, R. E. (1978). Stochastic Implications ofthe Life Cycie-Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy, 86:971987. Hansen, G. (1988). Analyse ökonomischer Gleichgewichte und cointegrierter Zeitreihen. Allgemeines Statistisches Archiv, 72:337-358. Hansen, G. (1990). Die Persistenz der Arbeitslosigkeit: eine theoretische und empirische Analyse.

We explain, why goodness of fit measures may be misleading as far as the appropriateness of the model is concemed and why measures, which are based on the sum of squared residuals, are not suitable as criteria for model selection. A small simulation study shows that the AIC-criterion performs best as far as model selection is concemed. The paper is organized as follows: In section 2 there is an overview of the goodness of fit measures which are most frequently used in empirical studies. In section 3 the relation between the measures based on the sum of squared residuals (SSR) and the fit is discussed.

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Contributions to Modern Econometrics: From Data Analysis to Economic Policy by Takeshi Amemiya, Dongseok Kim (auth.), Ingo Klein, Stefan Mittnik (eds.)


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