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A novel approach to estimating these models was proposed by Tamer (2002), who noted that although discrete entry games do not predict unique equilibrium, the assumption of NE could
(2004), “Why Do Absolute Returns Predict Volatility so Well?” working paper, University of North Carolina, Dept. (1988), “A Study Towards a Dynamic Theory of Seasonality for
We compare the forecast accuracy of four classes of fore- casting models using carefully synchronized realtime or vintage data: Greenbook, univariate time series models that are
This result may shed some light on the fragile link between in- sample model selection and out-of-sample forecasting in real time; one-shot tests, when used recursively, tend to
(We omit these results for the sake of brevity.) [Of course, the monthly index obtained using only long-lived models is based on a larger number of models that a semiannual index
This finding implies that small firm portfolios are exposed to a source of risk (i.e., market coskewness) that is different from the usual market beta and arises from
Using monthly real exchange rate data, our test rejects the null of unit-root against a threshold process for five European series.. KEY WORDS: Mixing conditions; Real exchange
We presented new analytical results on the relative forecast accuracy of forecasting an aggregate by (1) combining disag- gregate forecasts (forecasting the disaggregate variables
