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Efficient estimation in models with independence restrictions
Alexandre Poirier

Inference and testing on the boundary in extended constant conditional correlation GARCH models
Rasmus Søndergaard Pedersen

Asymptotics for recurrent diffusions with application to high frequency regression
Jihyun Kim, Joon Y. Park

Rolling window selection for out-of-sample forecasting with time-varying parameters
Atsushi Inoue, Lu Jin, Barbara Rossi

A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks
Guohua Feng, Jiti Gao, Bin Peng, Xiaohui Zhang

Forecasting cointegrated nonstationary time series with time-varying variance
Yundong Tu, Yanping Yi

A multivariate stochastic unit root model with an application to derivative pricing
Offer Lieberman, Peter C.B. Phillips

Statistical inference for independent component analysis: Application to structural VAR models
Christian Gouriéroux, Alain Monfort, Jean-Paul Renne

A new approach to model regime switching
Yoosoon Chang, Yongok Choi, Joon Y. Park

Impulse response matching estimators for DSGE models
Pablo Guerron-Quintana, Atsushi Inoue, Lutz Kilian

Inference in semiparametric conditional moment models with partial identification
Shengjie Hong

Estimating smooth structural change in cointegration models
Peter C.B. Phillips, Degui Li, Jiti Gao

Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
Kai Yang, Lung-fei Lee

Data revisions and DSGE models
Ana Beatriz Galvão

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