In this paper we take an agnostic view of the Phillips curve debate, and carry out an empirical investigation of the relative and absolute efficacy of Calvo sticky price (SP), sticky information (SI), and sticky price with indexation models (SPI), with emphasis on their ability to mimic...

Granger (1980) summarizes his personal viewpoint on testing for causality, and outlines what he considers to be a useful operational version of his original definition of causality (Granger (1969)), which he notes was partially alluded to in Wiener (1958). This operational version is based on a...

This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...

This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and...

This paper develops Wald-type tests for general (possibly nonlinear) restrictions in the context of a weakly-identified heteroskedastic IV regression. In particular, it is first shown that, in a framework with many weak instruments, consistency and asymptotic normality can be obtained when...

The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et al. [Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P., 2003. Modelling and forecasting realized...