REASONABLE EXTREME-BOUNDS ANALYSIS

被引：50

作者：

GRANGER, CWJ ^{[1
]}

UHLIG, HF ^{[1
]}

机构：

[1] FED RESERVE BANK MINNEAPOLIS, MINNEAPOLIS, MN USA

来源：

JOURNAL OF ECONOMETRICS | 1990年 / 44卷 / 1-2期

关键词：

D O I：

10.1016/0304-4076(90)90077-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Leamer (1983) has given bounds for a parameter of a model estimated by ordinary least squares for all possible specifications with a given group of explanatory variables. However, some of these specifications will have low R2 specification and these can lead to wide bounds. In this paper, bounds are derived for all specifications with R2 values a given percentage of the maximum R2 value. These exact bounds can be found from calculating only two regressions. The techniques are applied to a study of the velocity of money. © 1990.

引用

页码：159 / 170

页数：12

共 9 条

[1]

BREUSCH TS, 1985, SIMPLIFIED EXTREME B

[2]

FRIEDMAN M, 1984, AM ECON REV, V74, P397

[3] VELOCITY AND THE VARIABILITY OF MONEY GROWTH - EVIDENCE FROM GRANGER-CAUSALITY TESTS [J].

HALL, TE ;

NOBLE, NR .

JOURNAL OF MONEY CREDIT AND BANKING, 1987, 19 (01) :112-116

[4]

LEAMER EE, 1985, AM ECON REV, V75, P308

[5]

LEAMER EE, 1983, AM ECON REV, V73, P31

[6]

LEAMER EE, 1981, J AM STAT ASSOC, V76, P842

[7]

MCALEER M, 1985, AM ECON REV, V75, P293

[8]

SIMS CA, 1988, SKEPTICAL REMARKS UN

[9]

SIMS CA, 1986, INFERENCE TIME SERIE

← 1 →