Forecasting turning points in countries' output growth rates: a response to Milton Friedman

Article Abstract:

Two University of Chicago researchers used versions of a simple autoregressive-leading indicator model and a Bayesian decision theoretic method to forecast the turning points for the yearly output growth rates of 18 industrialized countries for the period 1974-1986. Their method enabled them to correctly determine 70% of 158 turning point forecasts for the industrialized countries. Economist Milton Friedman urged the researchers to use an extended data set to verify their findings. The researchers have reported positive results using their method in forecasting 211 turning point episodes for the period 1974-1990.

Usage, Economic aspects, Forecasts and trends, Bayesian statistical decision theory, Bayesian analysis, Industrialized countries, Industrial nations, Industrial productivity, Autoregression (Statistics)

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The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors

Article Abstract:

A study was conducted on the J and Cox non-nested tests distribution using regression models that are weakly correlated. Results showed that a new J and Cox distribution was derived when near population orthogonality was introduced and that alternative tests yielded different variables that were asymptotically approached. Other evidence show that tests incorporating the J distribution give better size properties than in the case of the Cox distribution.

Research, Regression analysis, Nonparametric statistics, Asymptotic distribution (Probability theory), Analysis of covariance, Covariance analysis

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Conditional and structural error correction models: reply

Article Abstract:

Neil R. Ericsson's discussion of a study on conditional and structural error correction models cites the need to structurally model cointegrated systems. Moreover, Ericsson points out that the study's exclusion of other error correction models which can also be classified as structural shows its narrow concept of structural error correction models. However, closer study reveals that there is no basis to this criticism.

Error analysis (Mathematics)

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