The factor-augmented vector autoregressive (FAVAR) model, first proposed by Bernanke, Bovin, and Eliasz (2005, QJE), is now widely used in macroeconomics and finance. In this model, observable and unobservable factors jointly follow a vector autoregressive process, which further drives the...

In this article, we analyze the impact of weights constraints in portfolio theory using the seminal work of Jagannathan and Ma (2003). They show that solving the global minimum variance portfolio problem with some constraints on weights is equivalent to use a shrinkage estimate of the covariance...

In econometric models, estimates of the asymptotic covariance matrix of FIML coefficients are traditionally computed in several different ways: with a generalized least squares type matrix; using the Hessian of the concentrated log-likelihood; using the outer product of the first derivatives of...

Most of the methods proposed in the literature for evaluating forecast uncertainty in econometric models need an estimate of the structural coefficiencs covariance matrix among input data. When estimation is performed with full information maximum likelihood, alternative estimators of such a...