A Further Look at Model Evaluation

  • Bernd Schips
  • Yngve Abrahamsen
Conference paper


In this chapter we compare the specification tests generally used in econometric model building with recently developed p-step Stone-Geisser prediction tests using jackknife procedures. The comparisons are based on a Monte Carlo study using different structural forms. The structural forms are partly misspecified. Three sets of simulations are presented: A variety of single equation models, a simple multi-equation macro model, and Klein’s Model I using US data. The jackknife based statistics enable a more critical evaluation of the out-of-sample performance of the estimated multi-equation models.


Predictive Quality Chow Test Average Percent Error Jackknife Procedure Jackknife Estimate 
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Copyright information

© Springer-Verlag Berlin Heidelberg 1991

Authors and Affiliations

  • Bernd Schips
  • Yngve Abrahamsen

There are no affiliations available

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