In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

101 As China exercises greater influence over global economics commensurate with the size of its economy, political discussions of the correct exchange rate for China will demand center stage. Questions about whether China should float the yuan, what the ‘competitive’ exchange rate might be,...

This paper proposes the implementation of the SupWald test of Andrews (1993) to detect structural breaks in the loadings of a static factor model. The procedure is illustrated by testing for structural breaks in the common factors of GDP growth series for a sample of advanced countries from 1950...

This paper provides an adaptive learning algorithm for linear stochastic models with expectational leads in which forecasts for an arbitrary period ahead of the current state feed back into the economic system. The concept of an unbiased forecasting rule with generates rational expectations...