We show that confidence regions covering the identified set may be preferable to confidence regions covering each of its points in robust control applications.

Quah's [1993a] transition matrix analysis of world income distribution based on annual data suggests an ergodic distribution with twin peaks at the rich and poor end of the distribution. Since the ergodic distribution is a highly non-linear function of the underlying transition matrix estimated...

We develop a new estimator of the number of factors in the approximate factor models. The estimator works well even when the idiosyncratic terms are substantially correlated. It is based on the fact, established in the paper, that any finite number of the largest "idiosyncratic" eigenvalues of...

In this paper we study high-dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k₀ factors against the alternative that the number of factors is larger than k₀ but no larger than k₁k₀. Our test statistic equals max_{k₀k⩽k₁}(Gamma_k -...

In this paper we consider the implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003). This is a relatively large-scale forward-looking model, which was shown to provide a good fit to the data. We show that systematically accounting for prior...

Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...