The authors discuss the choice of approximations for unobserved expectations underlying consistent estimators in linear rational expectations models with future expectations. They show how estimators that are more efficient than the commonly used GMM estimators can be obtained if it is assumed...

In this article we extend previous BMOM results by showing how information about a variance parameter and its relation to regression coefficients produces a rich class of postdata densities for regression parameters. Prediction and model selection techniques are also described. We also discuss...