Non-nested tests of new classical versus Keynesian models: further evidence

Bryant, William D. A.

doi:10.1080/00036849100000148

Cited by 3 publications

(2 citation statements)

References 9 publications

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“…The inferences derived by Askari (1986), Bryant (1991), Darrat (1987), Helliwell (1986) and Mohabbat Al-Saji (1991) regarding the statistical insignificance of current and lagged 'surprises' are unaffected by the inclusion of GR, as are the majority of inferences derived by Ahmed (1987). However, much of the emphasis in Ahmed (1987) revolves around results which imply support for the NCM neutrality propositions which, given the presence of GR, must be regarded as unresolved.…”

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confidence: 84%

Econometric Issues in Macroeconomic Models With Generated Regressors

Oxley

McAleer

1993

Journal of Economic Surveys

126

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The paper critically reviews the literature on the econometric issues raised by the use of generated regressors (GR) in empirical models. The economic rationale for the use of GR is considered, with examples being drawn from several macroeconomic examples, including New Classical Macroeconomic (NCM) models which postulate monetary neutrality. Various estimation methods are discussed for models which include 'surprise' or 'unexpected' terms and the strengths and weaknesses of each approach are investigated. Drawing upon the work of McAleer and McKenzie (1991b), situations where the typically inefficient two-step estimation (2SE) method will be efficient are highlighted. Problems of model misspecification and measurement errors are also investigated. An empirical section highlights some of the dangers of using uncorrected 2SE estimation results through a careful consideration of many recent attempts to test the NCM monetary neutrality hypothesis.

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