It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Hall et al. (2007) propose a method for moment selection based on an information criterion that is a function of the entropy of the limiting distribution of the Generalized Method of Moments (GMM) estimator. They establish the consistency of the method subject to certain conditions that include...

We propose a new information criterion for impulse response function matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters,...

It is widely known that significant in-sample evidence of predictability does not garantuee significant out-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound (ZLB) constraint on the nominal interest rate. Our Monte Carlo experiments using a standard sticky-price DSGE model show that no...

This paper studies empirical facts regarding the effects of unexpected changes in aggregate macroeconomic fiscal policies on consumers that are allowed to di¤er depending on their individual characteristics. We use data from the Consumption Expenditure Survey (CEX) to estimate individual-level...

The Great Recession has challenged the adequacy of existing models to explain key macroeconomic data, and raised the concern that the models might be misspecified. This paper investigates the importance of misspecification in structural models using a novel approach to detect and identify the...