In this paper I discuss the estimation of the process governing the structural shocks (or wedges) to a DSGE model …

least squares estimation, using either Fully Modified, Dynamic or Integrated Modified OLS. The procedure is inspired by Chu … et al. (1996) in that it is based on parameter estimation only on a pre-break ``calibration'' period rather than being … based on sequential estimation over the full sample. We investigate the asymptotic behavior of the procedures under the null …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by … the estimation approach. A real-time application to the relationship between daily corporate bond spreads and quarterly …

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent …