Applied economists working with time series data face a dilemma in selecting between models with deterministic and stochastic trends. While models with deterministic trends are widely used, models with stochastic trends are not so well known. In an influential paper Harvey (1997) strongly...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

In Pötscher and Preinerstorfer (2022) and in the abridged version Pötscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen (2021a,b). Unfortunatelly, Hansen's (2024) reply to Pötscher...

We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform conservative model selection as well as for the case...

The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.

We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion like AIC or by a hypothesis...

The validity of the key behavioral parameters used in the calibration process of computable general equilibrium (CGE) models remains a debated issue in the CGE literature. CGE modelers prefer to borrow from the handful of estimates available in the literature rather than estimating these...

We study the distribution of hard-, soft-, and adaptive soft-thresholding estimators within a linear regression model where the number of parameters k can depend on sample size n and may diverge with n. In addition to the case of known error-variance, we define and study versions of the...

We study the distribution of hard-, soft-, and adaptive soft-thresholding estimators within a linear regression model where the number of parameters k can depend on sample size n and may diverge with n. In addition to the case of known error-variance, we define and study versions of the...