Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between...

This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field

We propose a method for using instrumental variables (IV) to draw inference about causal effects for individuals other than those affected by the instrument at hand. Policy relevance and external validity turns on the ability to do this reliably. Our method exploits the insight that both the IV...

A large sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by a finite-dimensional reduced form parameter vector. It is used to analyze the differences between frequentist confidence sets and Bayesian...

Most empirical papers in economics focus on two aspects of their results: whether the estimates are statistically significantly different from zero and the interpretation of the point estimates. This focus obscures important information about the implications of the results for economically...

This paper studies identification and inference for the effect of a mis-classified, binary, endogenous regressor when a discrete-valued instrumental variable is available. We begin by showing that the only existing point identification result for this model is incorrect. We go on to derive the...

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper...

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...