A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary policy. We show how this information can be exploited to produce accurate forecasts of bond excess returns and...

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation. The mapping between DSGE and VAR models is broken down into three stages: 1) from DSGE to state-space model; 2) from state-space model to VAR...

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspeciÂ…ed non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global...

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model, provided there were no latent variables. The contribution of this paper is the same with...