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Dynamic Mixture Vector Autoregressions with Score-Driven Weights (replication...
Dataset for "Dynamic mixture vector autoregressions with score-driven weights" by Dennis Umlandt, Matthias Neuenkirch and Alexander Georges Gretener (Journal of Applied... -
Unraveling the Productivity Paradox: Evidence for Germany
Despite massive digitization efforts, the German economy has experienced a marked slowdown in its productivity growth. This paper empirically analyzes three prominent... -
Fast and order-invariant inference in Bayesian VARs with non-parametric shock...
The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration... -
Statistical identification in panel structural vector autoregressive models b...
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled...
