This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence...

This paper addresses the notion that many fractional I(d) processes may fall into the "empty box" category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of a context in which competing models are nested is when predictive ability is equated with "out-of-sample Granger causality". In particular, it is...

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the nonparametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a particular...

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model...

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...

We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare "true" joint distributions with ones generated by given DSGEs. This is accomplished...

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

This paper conducts a general analysis of the conditions under which consistent estimation can be achieved in instrumental variables regression when the available instruments are weak in the local-to-zero sense. More precisely, the approach adopted in this paper combines key features of the...