-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the … estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean …

distinction between the selection and forecasting stages. We establish three main theorems on selection, estimation post selection …

establish three main theorems on selection, estimation post selection, and in-sample fit. These theorems provide justification …

establish three main theorems on selection, estimation post selection, and in-sample fit. These theorems provide justification …

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy's steady state growth …

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy’s steady state growth …

. Building on the forecast combination literature, the paper examines the effects of model and estimation uncertainty on forecast …