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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... -
The shale oil boom and the US economy: Spillovers and time-varying effects (r...
Hilde C. Bjørnland & Julia Skretting, "The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects", Journal of Applied Econometrics The data used in this... -
Understanding trend inflation through the lens of the goods and services sect...
We distinguish between the goods and services sectors in an unobserved components model of U.S. inflation. We find that prior to the early 1990s, both sectors contributed to... -
Subspace shrinkage in conjugate Bayesian vector autoregressions (replication ...
For the empirical exercise we use quarterly macroeconomic data for the US, obtained from the FRED-QD database (https://research.stlouisfed.org/econ/mccracken/fred-databases/)....
