The overall objectives of this review and synthesis are to study the basics of information-
theoretic methods in econometrics, to examine the connecting theme among these methods …

We examine the record of cross-country growth over the past fifty years and ask if
developing countries have made progress on closing the income gap between their per …

This paper considers the problem of selection of weights for averaging across least squares
estimates obtained from a set of models. Existing model average methods are based on …

We consider estimation of the structural vector autoregression (SVAR) by the generalized
method of moments (GMM). Given non-Gaussian errors and a suitable set of moment …

We develop a GMM approach for estimation of log-normal stochastic volatility models driven
by a fractional Brownian motion with unrestricted Hurst exponent. We show that a parameter …

This paper studies the selection of valid and relevant moments for the generalized method of
moments (GMM) estimation. For applications with many candidate moments, our asymptotic …

Information Theory (IT) methods, concepts, and solutions are now much more widely
recognized, understood, and employed. Sometimes they are “rediscovered” and cited in …

We derive a natural generalization of the Taylor rule that links changes in the interest rate to
the balance of the risks implied by the dual objective of sustainable economic growth and …

Practitioners often have at their disposal a large number of instruments that are weakly
exogenous for the parameter of interest. However, not every instrument has the same …

We revisit the generalized method of moments (GMM) estimation of the non-Gaussian
structural vector autoregressive (SVAR) model. It is shown that in the n-dimensional SVAR …