to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage …

construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that … promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general …

to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage …

construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that … promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general …

regressions for macro applications, for example, choices related to how and to what extent to include shrinkage, and whether to … apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, using for evaluation both quantile … tail. Across a range of applications, we find that shrinkage is generally helpful to quantile forecast accuracy, with …