Holly and Magnus [1988] show that the IV estimator in a linear equation is asymptotically as efficient as the ML estimator in the model that is obtained by "completing" this equation to a complete equations system. Their proof is long and involves many matrix manipulations. A simpler approach is...

Partial Least Squares as applied to models with latent variables, measured indirectly by indicators, is well-known to be inconsistent. The linear compounds of indicators that PLS substitutes for the latent variables do not obey the equations that the latter satisfy. We propose simple,...

type="main" xml:lang="en" <p>We extend Svensson's (1991b) analysis of the term structure of interest rate differentials in a target zone. First, the model includes a time-varying devaluation risk, and second, we analyse the term structure of interest differentials vis-a-vis Germany in five...</p>