; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …

production; and exchange rates. -- diffusion index ; factor ; forecast ; macroeconometrics ; parameter estimation error ; proxy …

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a … approach is completely observation driven, rendering estimation and inference straightforward. It provides a unified framework …

The literature on heteroskedasticity and autocorrelation robust (HAR) inference is extensive but its usefulness relies …

sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in …

time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has …

building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …