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Econometrics

3 papers tracked 0 forthcoming 2 classics

18 concepts covered in this topic

absolute bias criterion DMW versus CW tests Dornbusch-Frankel model effective F-statistic Forecasts based on realized explanatory variables Frenkel-Bilson model HAC robustness Hooper-Morton model Instability of predictive ability Meese and Rogoff puzzle Net foreign assets (NXA) Out-of-sample forecasting comparison Random walk benchmark Random walk without drift as benchmark Taylor rule fundamentals The random walk does not predict well weak instruments test "It depends"

Showing 3 papers

Published Review of Economic Studies Online 30 Dec 2025 Published Sep 2026

A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors

Daniel J Lewis · Karel Mertens

This paper develops a test for instrument strength based on the bias of two-stage least squares (2SLS) that: (1) generalizes the Stock-Yogo (2005) and Sanderson-Windmeijer (2016) tests to be robust to …

Econometrics Instrumental Variables Identification Free Read ↗

Published Classic Journal of International Economics Published Feb 1983

Empirical exchange rate models of the seventies: Do they fit out of sample?

Richard A. Meese · Kenneth Rogoff

Across the dollar/mark, dollar/pound, dollar/yen and trade-weighted dollar rates over November 1976 to June 1981, no structural exchange rate model, univariate time series model, vector autoregression …

Exchange Rates Nowcasting Forecasting International Finance Open Economy Macro Econometrics Free Read ↗

Published Classic Journal of Economic Literature Published Dec 2013

Exchange Rate Predictability

Barbara Rossi

Asked whether anything forecasts exchange rates, this survey's answer is "it depends" -- on the predictor, the horizon, the sample, the model and the evaluation test. Predictability shows up most …

Exchange Rates Nowcasting Forecasting International Finance Econometrics Open Economy Macro Free Read ↗