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An automated prior robustness analysis in Bayesian model comparison (replicat...
It is well-known that the marginal likelihood, the gold standard for Bayesian model comparison, can be sensitive to prior hyperparameter choices. However, most models require... -
Tests of Predictive Ability for Vector Autoregressions Used for Conditional F...
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though... -
UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION (replicat...
We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits... -
THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL...
We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation,...
