In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed in Hansen (1995). The extension we propose is based on a p-values combination approach that takes into account cross-section dependence. We show that the...

This paper proposes a strategy to increase the efficiency of forecast combination. Given the availability of a wide range of forecasts for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, a hierarchical procedure based on an...

The paper presents a computationally efficient method to solve overlapping gener- ations models with asset choice. The method is used to study an OLG economy with many cohorts, up to 3 different assets, stochastic volatility, short-sale constraints, and subject to rather large technology shocks....

In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...