This paper derives the limiting distributions of alternative jackknife IV (JIV ) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

The topic of volatility measurement and estimation is central to …nancial and more generally time series econo- metrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical …ndings from the literature. In...

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic when the number of instruments grows...

In this paper, we empirically assess the predictive accuracy of a large group of models that are specified using principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least angle regression and related methods. Our results suggest...

Mild factor loading instability, particularly if sufficiently independent across the different constituent variables, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e.g.  Stock and Watson (2009)). This result does not hold in...

This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence...

This paper introduces a parametric specification test for dissusion processes which is based on a bootstrap procedure that accounts for data dependence and parameter estimation error. The proposed bootstrap procedure additionally leads to straightforward generalizations of the conditional...

Standard unit root and stationarity tests (see e.g. Dickey and Fuller (1979)) assume linearity under both the null and the alternative hypothesis. Violation of this linearity assumption can result in severe size and power distortion, both in finite and large samples. Thus, it is reasonable to...