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Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Ma...
An article by Chan et al. (2013) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
Growth Empirics in Panel Data Under Model Uncertainty and Weak Exogeneity (re...
This paper considers panel growth regressions in the presence of model uncertainty and reverse causality concerns. For this purpose, my econometric framework combines Bayesian... -
The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of ...
We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty...