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This paper analyzes the conditions under which consistent estimation can be achieved in instrumental variables (IV ) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker (1994). Our analysis of an extended k-class of estimators thatâ€¦ (More)

This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold (2000), Diebold, Gunther and Tay (1998), Diebold, Hahnâ€¦ (More)

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap statistic that allows for dynamic misspecification under bothâ€¦ (More)

- JeÂ®ery D. Amato, Norman R. Swanson
- 2001

Data on monetary aggregates are subject to periodic redefinitions, presumably in part to improve their link to measures of output. Money data are also revised on a regular basis. Taking these data imperfections into account, we reassess the evidence on the marginal predictive content of M1 and M2 for real and nominal output. In particular, by Ì„rst usingâ€¦ (More)

We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare â€˜â€˜trueâ€™â€™ joint distributions with ones generated by given DSGEs. This is accomplished via comparison of the empirical joint distributions (orâ€¦ (More)

- Norman R. Swanson, Jerry Hausman, +5 authors TIEMEN WOUTERSEN
- 2008

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) and the many weak instrument sequence of Chao and Swansonâ€¦ (More)

- Jerry Hausman, Whitney K. Newey, +4 authors Whitney K. Newey
- 2006

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) estimators; as well as heteroskedasticity consistent standardâ€¦ (More)

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983), Bekker (1994), Angrist and Krueger (1995), Donald and Neweyâ€¦ (More)

We examine the extent to which fluctuations in the money stock anticipate (or Granger cause) fluctuations in real output using a variety of rolling window and increasing window estimation techniques. Various models are considered using simple sum as well as Divisia measures of M1 and M2, income, prices, and both the Tbill rate and the commercial paper rate.â€¦ (More)

- Norman R. Swanson, Maike Burda, C. W. J. Granger
- 1998

Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregres-sions (VARs) and contemporaneous innovation correlation in aggre-gated systems. This approach allows us to better understand the in-formational content in non-diagonal error covariance matrices, which play an importantâ€¦ (More)