-
Jackknife instrumental variables estimation: replication and extension of ang...
I replicate most of the results in Angrist, Imbens, and Krueger (Journal of Applied Econometrics 1999; 14: 57-67), point to a possible error in and re-estimate Model 3, and... -
Combining forecast densities from VARs with uncertain instabilities (replicat...
Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the... -
Forecast evaluation of small nested model sets (replication data)
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the... -
Averaging forecasts from VARs with uncertain instabilities (replication data)
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting... -
Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers...
