Applications of zero-inflated count data models have proliferated in empirical economic research. There is a downside to this development, as zero-inflated Poisson or zero-inflated Negative Binomial Maximum Likelihood estimators are not robust to misspecification. In contrast, simple Poisson...

The age distribution is seldom taken into consideration in macroeconomic, and macro-econometric papers. This in spite of the fact that established economic theories predict that demographic factors will affect the aggregate economy. This paper focuses on economic growth and investigates...

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

In a recent article Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytical method (FAM) for the estimation of fixed-effects dynamic panel data models, which has the unique and very useful property that it is...

This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis during the recent ‡oat period on data for the G7 countries. This method is robust in several important dimensions relative to previous methods,...

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...

DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter...