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Optimal monetary policy using an unrestricted VAR (replication data)
This paper proposes a simple benchmark for monetary policy. Assuming the true model of the economy is unknown, it is based on an unrestricted vector autoregression (VAR). The... -
A simple, flexible estimator for count and other ordered discrete data (repli...
This paper examines a flexible way to model empirically discrete data outcomes using hazard rate decompositions. It presents a general data-generating mechanism based on... -
Term structure surprises: the predictive content of curvature, level, and slo...
This paper analyzes the predictive content of the term structure components level, slope, and curvature within a dynamic factor model of macroeconomic and interest rate data.... -
Lose weight for a raise only if overweight: Marginal integration for semi-lin...
Some studies have shown that body mass index (BMI), weight (kg)/height (m)2, has a negative (or no) effect on wage. But BMI representing obesity is a tightly specified function... -
A blocking and regularization approach to high-dimensional realized covarianc...
We introduce a blocking and regularization approach to estimate high-dimensional covariances using high-frequency data. Assets are first grouped according to liquidity. Using... -
Probabilistic forecasting of output growth, inflation and the balance of trad...
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for... -
An identification-robust test for time-varying parameters in the dynamics of ...
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting... -
Biases in approximating log production (replication data)
Most empirical work in economic growth assumes either a Cobb-Douglas production function expressed in logs or a log-approximated constant elasticity of substitution... -
Job and wage mobility with minimum wages and imperfect compliance (replicatio...
We propose a job search model with minimum wage regulations and imperfect compliance to explain the doubling of the mean and variance of hourly earnings of white males during... -
Estimating the returns to schooling: a likelihood approach based on normal mi...
In this paper we develop likelihood-based methods for statistical inference in a joint system of equations for the choice of length of schooling and earnings. The model for... -
Measuring forecast uncertainty by disagreement: The missing link (replication...
Using a standard decomposition of forecast errors into common and idiosyncratic shocks, we show that aggregate forecast uncertainty can be expressed as the disagreement among... -
Combining forecast densities from VARs with uncertain instabilities (replicat...
Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the... -
Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Forecast evaluation of small nested model sets (replication data)
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the... -
Forecast comparisons in unstable environments (replication data)
We propose new methods for comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. The main idea is to develop a... -
A comparison of forecast performance between federal reserve staff forecasts,...
This paper considers the real-time-- forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE)... -
Extracting a robust US business cycle using a time-varying multivariate model...
We develop a flexible business cycle indicator that accounts for potential time variation in macroeconomic variables. The coincident economic indicator is based on a... -
Introducing the euro-sting: Short-term indicator of euro area growth (replica...
We set out a model to compute short-term forecasts of the euro area GDP growth in real time. To allow for forecast evaluation, we construct a real-time dataset that changes for... -
What do we learn from the price of crude oil futures? (replication data)
Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense than no-change...
