
Dynamic spatial autoregressive models with autoregressive and heteroskedastic...
We propose a new class of models specifically tailored for spatiotemporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and... 
Transitions at Different Moments in Time: A Spatial Probit Approach (replicat...
This paper adopts a spatial probit approach to explain interaction effects among crosssectional units when the dependent variable takes the form of a binary response variable... 
Noncausal Bayesian Vector Autoregression (replication data)
We consider Bayesian analysis of the noncausal vector autoregressive model that is capable of capturing nonlinearities and effects of missing variables. Specifically, we devise... 
Exponent of CrossSectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of crosssectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... 
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graphbased approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous... 
Extracting Nonlinear Signals from Several Economic Indicators (replication data)
We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov switching dynamic factor models to identify the business cycle... 
Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting (re...
Factor models have been applied extensively for forecasting when highdimensional datasets are available. In this case, the number of variables can be very large. For instance,... 
The Contribution of Structural Break Models to Forecasting Macroeconomic Seri...
This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the... 
Is infrastructure capital productive? A dynamic heterogeneous approach (repli...
This paper offers an evaluation of the output contribution of infrastructure. Using a panel time series approach and a large crosscountry dataset, the paper estimates a... 
A Theoretical Foundation for the NelsonSiegel Class of Yield Curve Models (r...
Yield curve models within the popular NelsonSiegel class are shown to arise from formal loworder Taylor approximations of the generic Gaussian affine term structure model.... 
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... 
POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PH...
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC)... 
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION (replication data)
In this paper we offer a bootstrapbased version of the Cox specification test for nonnested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly... 
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized... 
Factor analysis of permanent and transitory dynamics of the US economy and th...
We analyze dynamics of the permanent and transitory components of the US economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture... 
Are output growthrate distributions fattailed? some evidence from OECD coun...
This work explores some distributional properties of aggregate output growthrate time series. We show that, in the majority of OECD countries, output growthrate distributions... 
Bayesian counterfactual analysis of the sources of the great moderation (repl...
We use counterfactual experiments to investigate the sources of the large volatility reduction in US real GDP growth in the 1980s. Contrary to an existing literature that... 
Asymmetric power distribution: Theory and applications to risk measurement (r...
Theoretical literature in finance has shown that the risk of financial time series can be well quantified by their expected shortfall, also known as the tail valueatrisk. In... 
A nonparametric measure of convergence towards purchasing power parity (repli...
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long halflives under the assumption of a linear adjustment of real... 
Temporal aggregation of an ESTAR process: some implications for purchasing po...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally...