Forecasting with the term structure: The role of no-arbitrage restrictions

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Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs (2011, methodology): “Duffee (2011a), using Monte Carlo methods and focusing on YTSMs, obtains a similarly close correspondence between these two estimates of the risk-factor loadings.”
Testable Implications of Affine Term Structure Models (2011, unknown): “If m < N, then the model (9) is instantly refuted, because it implies that a regression of any one 2 Duffee (2011a) has also noted the substantial serial correlation of measurement errors. of the yields on m others should have an R 2 of unity.”
Forecasting Interest Rates with Shifting Endpoints (2012, unknown): “Indeed, Duffee (2011) obtains superior out-of-sample forecasts when a random walk is used for the first principal components of yields (which closely corresponds to the Nelson-Siegel level factor).”