This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...

We compare local and global polynomial solution methods for DSGE models with Epstein- Zin-Weil utility. We show that model implications for macroeconomic quantities are relatively invariant to choice of solution method but that a global method can yield substantial improve- ments for asset...

The Muslims of South Asia made the transition to modern economic life more slowly than the region’s Hindus. In the first half of the twentieth century, they were relatively less likely to use large-scale and long-living economic organizations, and less likely to serve on corporate boards....

This paper analyzes the importance of monetary and fiscal policy shocks in explaining US macroeconomic fluctuations, and establishes new stylized facts. The novelty of our empirical analysis is that we jointly consider both monetary and fiscal policy, whereas the existing literature only focuses...

This paper investigates whether oil price shocks have a reliable and stable out-of-sample relationship with the Canadian/U.S Dollar nominal exchange rate. Despite state-of-the-art methodologies and clean data, we …find paradoxically little systematic relation between oil prices and the exchange...

Following Kreps (1979), I consider a decision maker who is uncertain about her future taste. This uncertainty leaves the decision maker with a preference for flexibility. When choosing among menus containing alternatives for future choice, she weakly prefers menus with additional alternatives....

The forecasting literature has identi…fied two important, broad issues. The fi…rst stylized fact is that the predictive content is unstable over time; the second is that in-sample predictive content does not necessarily translate into out-of-sample predictive ability, nor ensures the stability...

Discrete response models are of high interest in economics and econometrics as they encompass treatment effects, social interaction and peer effect models, and discrete games. We study the impact of the structure of information sets of economic agents on the Fisher information of (strategic)...

In this paper we present parametric estimation of models for stock returns by describing price dynamic as the sum of two independent Levy components. The increments (moves) are viewed as discrete-time log price changes that follow an infinitely divisible distribution, i.e. stationary and...

We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two steps. The first is aggregating the high-frequency increments into the realized...