We contribute to the rather sparse literature on multivariate density forecasting by introducing a new framework for the out-of-sample evaluation of multivariate density forecast models which builds on the concept of “autocontours” proposed by González-Rivera, Senyuz, and Yoldas (2011)....

We propose a new battery of dynamic specification tests for the joint hypothesis of iid-ness and density function based on the fundamental properties of independent random variables with identical distributions. We introduce a device-the autocontour-whose shape is very sensitive to departures...

Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is...