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Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty (re...
This dataset has no description
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Recurrent conditional heteroskedasticity (replication data)
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-of-sample... -
A regularization approach to common correlated effects estimation (replicatio...
Cross-section average-augmented panel regressions introduced by Pesaran (2006) have been a popular empirical tool to estimate panel data models with common factors. However, the... -
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... -
Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions (repli...
We propose a release-augmented dynamic factor model (RA-DFM) that allows to quantify the role of a country's data flow in nowcasting both early Gross Domestic Product (GDP)... -
Evolution of the New Market Tax Credit
The New Market Tax Credit (NMTC) is a place-based policy in the United States which annually incentivizes billions in direct investments towards selected impoverished... -
The impact of forecast errors on fiscal planning and debt accumulation
We investigate the impact of errors in medium run tax revenue forecasts on the final budget balance. Our analysis is based on fiscal data for the entirety of German states and... -
The Possible Unemployment Cost of Average Inflation Below a Credible Target. ...
These are the replication files for Oraby (JCRE, 2022). The paper aims to replicate Svensson (American Economic Journal: Macroeconomics, 2015). Abstract: This paper replicates...
