Econometrics, Volume 1, Issue 2

The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of th...

This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the con...

This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rat...