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Measuring global economic activity (replication data)
A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has... -
Dynamic specification tests for dynamic factor models (replication data)
We derive computationally simple expressions for score tests of misspecification in parametric dynamic factor models using frequency domain techniques. We interpret those... -
NETS: Network estimation for time series (replication data)
We model a large panel of time series as a vector autoregression where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be...
