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Evaluating Point and Density Forecasts of DSGE Models (replication data)
This paper investigates the accuracy of forecasts from four dynamic stochastic general equilibrium (DSGE) models for inflation, output growth and the federal funds rate using a... -
Using OLS to Estimate and Test for Structural Changes in Models with Endogeno...
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We... -
Bayesian VARs: Specification Choices and Forecast Accuracy (replication data)
In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt... -
Cointegration in Panel Data with Structural Breaks and Cross-Section Dependen...
The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered....
