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 specifications and model evaluation …

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV … (JIVE) establishes that consistent estimation depends importantly on the relative magnitudes of rn, the growth rate of the … the use of many instruments may be beneficial for estimation, as the resulting concentration parameter growth may allow …

statistics are obtained via rolling and recursive estimation schemes are developed. An empirical illustration comparing …

are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC … alternative models, due to parameter estimation error, indicating that caution needs to be exercised when interpreting the results …