Ordinary Least Squares (OLS) estimation of monetary policy rules produces potentially inconsistent estimates of policy parameters. The reason is that central banks react to variables, such as ...

Intuition suggests that altering the covariance structure of a parametric model for repeated-measures data alters the variances of the model's estimated mean parameters. The purpose of this article is ...

For a multivariate stationary time series, we propose a nonparametric estimator for its generalized prediction error variance using a multivariate analog of the ...