The generalised method of moments (GMM) is combined with the nonparametric estimation of the instrument matrix to obtain an easily computable estimator for the panel probit model. It is based on the specification of the conditional mean of the binary dependent variable in each period, and...

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms that simulate from the space defined by all possible...

The paper begins with the question of whether Leamer's Extreme Bounds Analysis (EBA) really does "Take the Con Out of Econometrics" By analytically demonstrating that the extreme bounds are simply functions of the F-statistic for the deletion of variables from a regression, we conclude that the...