A Further Look at Model Evaluation
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.
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