A new technique for postsample model selection and validation

Article Abstract:

A postsample inference procedure was developed for the selection and evaluation of postsample model. The procedure prevents pre-test prejudices observed in previous insample tests. It also permits crosscorrelation and serial dependence that are usually found in postsample time series data. However, the procedure developed needs longer postsample periods to attain acceptable postsample model validation.

Statistical sampling, Sampling (Statistics), Forecasting, Monte Carlo method, Monte Carlo methods

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The Hodrick-Prescott filter, the Slutzky effect, and the distortionary effect of filters

Article Abstract:

A new metric is constructed for filtering the distortionary effects of business cycle filters which depend on thepower transfer function of the filter and on the spectrum of the filtered time series. The new metric uses the Hodrick-Prescott filter or the Baxter and King's band-pass filter as the case may be.

Denmark, Business, Statistics, Statistics (Data), Business cycles, Stochastic processes, Filters (Mathematics), Mathematical filters

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Inperpolating exogenous variables in continuous time dynamc models

Article Abstract:

This model offers a method of interpolation using Bergstrom's polynomial which provides an exact discrete analogue. A Monte Carlo experiment indicates how inappropriate interpolation skews the results.

United States, Methods, Models, Interpolation, Design and construction, Mathematical models, Variables (Mathematics)

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