Recent advances and future directions in causality, prediction, and specification analysis : essays in honor of Halbert L. White Jr

-- This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world's foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the "empirical toolbox" that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to "build" the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world' s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the "e mpirical toolbox" that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to "b uild" the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners Front Matter....Pages i-xxxiii Improving U.S. GDP Measurement: A Forecast Combination Perspective....Pages 1-25 Identification Without Exogeneity Under Equiconfounding in Linear Recursive Structural Systems....Pages 27-55 Optimizing Robust Conditional Moment Tests: An Estimating Function Approach....Pages 57-95 Asymptotic Properties of Penalized M Estimators with Time Series Observations....Pages 97-120 A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance....Pages 121-143 New Directions in Information Matrix Testing: Eigenspectrum Tests....Pages 145-177 Bayesian Analysis and Model Selection of GARCH Models with Additive Jumps....Pages 179-208 Hal White: Time at MIT and Early Days of Research....Pages 209-217 Open-Model Forecast-Error Taxonomies....Pages 219-240 Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form....Pages 241-274 Nonparametric Identification in Dynamic Nonseparable Panel Data Models....Pages 275-297 Consistent Model Selection: Over Rolling Windows....Pages 299-330 Estimating Misspecified Moment Inequality Models....Pages 331-361 Model Adequacy Checks for Discrete Choice Dynamic Models....Pages 363-382 On Long-Run Covariance Matrix Estimation with the Truncated Flat Kernel....Pages 383-410 Predictability and Specification in Models of Exchange Rate Determination....Pages 411-436 Thirty Years of Heteroskedasticity-Robust Inference....Pages 437-461 Smooth Constrained Frontier Analysis....Pages 463-488 NoVaS Transformations: Flexible Inference for Volatility Forecasting....Pages 489-525 Regression Efficacy and the Curse of Dimensionality....Pages 527-549 Back Matter....Pages 551-560