Sequential maximum likelihood and GMM estimators of distributional parameters obtained from the standardised innovations of multivariate conditionally heteroskedastic dynamic regression models evaluated at Gaussian PML estimators preserve the consistency of mean and variance parameters while...

This paper presents calculations of semiparametric efficiency bounds for quantile treatment effects parameters when selection to treatment is based on observable characteristics. The paper also presents three estimation procedures for these parameters, all of which have two steps: a...

Estimation of multivariate GARCH models is usually carried out by quasi maximum likelihood (QMLE), for which recently consistency and asymptotic normality have been proven under quite general conditions. However, there are to date no results on the efficiency loss of QMLE if the true innovation...

Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates expert intuition,...

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...