The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a...

First-reported monthly and quarterly time-series data on nine macroeconomic variables from 1960-1993 are given. Features of this so-called "unrevised" or "first-reported data" are discussed, and the data is compared with standard "fully revised" data using Granger causality tests. For the...

This is pre-print of a book review of a graduate econometrics textbook entitled "Statistical Foundations for Econometric Techniques," by Asad Zaman. Four parts of the book cover estimation, testing, asymptotics (first and higher order), and empirical Bayes methods for regression models. Emphasis...

<p><p><p><p><p><p><p>It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...</p></p></p></p></p></p></p>

In this paper, we add to the literature on the assessment of how well RBC simulated data reproduce the dynamic features of historical data. In particular, we evaluate a variety of new Keynesian DSGE models, including the standard sticky price model discussed in Calvo (1983), the sticky price...

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the “empty box” category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we...

This paper addresses the notion that many fractional I(d) processes may fall into the "empty box" category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is ¯rst shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...