This paper proposes a method for comparing and combining conditional quantile forecasts in an out-of-sample framework. We construct a Conditional Quantile Forecast Encompassing (CQFE) test as a Wald-type test of superior predictive ability. Rejection of CQFE provides a basis for combination of...

This paper proposes a method for comparing and combining conditional quantile forecasts based on the principle of 'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed as a Wald-type test on the coefficients of an...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...

The recent works of Gali and Gertler (1999) and Gali, Gertler and Lopez-Salido (2001) provide evidence supporting the New Keynesian Phillips curve (NKPC). This model posits the dynamics of inflation as being forward-looking and related to real marginal costs. In this paper, we examine the...

This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option which is not present in past returns....

There is substantial evidence suggesting that central banks in open economies react to exchange rate fluctuations in addition to expected inflation and output. In some developing countries this reaction is comparatively larger and it is nonlinear. Using an estimated structural macromodel, this...

This paper derives conditions under which the generalized method of moments (GMM) estimator is as efficient as the maximum likelihood estimator (MLE). The data are supposed to be drawn from a parametric family and to be stationary Markov. We study the efficiency of GMM in a general framework...

In this paper, I develop a quasi empirical likelihood estimator that has good finite-sample properties when there are many moment conditions. I show that the quasi empirical likelihood estimator, which uses semiparametric efficient estimation, is an approximation to the empirical likelihood...

We construct higher order expressions for Wald and Lagrange multiplier (LM) GMM statistics that are based on 2step and continuous updating estimators (CUE). We show that the sensitivity of the limit distribution to weak and many instruments results from superfluous elements in the higher order...

This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental...