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Jackknife instrumental variables estimation: replication and extension of angrist, imbens and krueger (1999)
Author(s) -
Nakov Anton
Publication year - 2010
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1191
Subject(s) - jackknife resampling , econometrics , replication (statistics) , estimation , code (set theory) , replicate , computer science , instrumental variable , point estimation , economics , statistics , mathematics , set (abstract data type) , programming language , management , estimator
We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast encompassing, present the limiting distributions of the test statistics, and investigate the impact of estimating the forecasting models' parameters on these distributions. The small-sample performance is investigated, in terms of small numbers of forecasts and model estimation sample sizes. We show the usefulness of the tests for the evaluation of recession probability forecasts from logit models with different leading indicators as explanatory variables, and for evaluating survey-based probability forecasts. Copyright © 2009 John Wiley & Sons, Ltd.