-
Bootstrap inference for impulse response functions in factor‐augmented vector...
In this study, we consider residual-based bootstrap methods to construct the confidence interval for structural impulse response functions in factor-augmented vector... -
The cyclicality of R&D investment revisited (replication data)
In Fabrizio and Tsolmon (Review of Economics and Statistics, 2014, 96(4), 662-675) and Barlevy (American Economic Review, 2007, 97(4), 1131-1164) it was concluded that R&D... -
An empirical investigation of direct and iterated multistep conditional forec...
When constructing unconditional point forecasts, both direct and iterated multistep (DMS and IMS) approaches are common. However, in the context of producing conditional... -
Steady‐state modeling and macroeconomic forecasting quality (replication data)
Vector autoregressions (VARs) with informative steady-state priors are standard forecasting tools in empirical macroeconomics. This study proposes (i) an adaptive hierarchical... -
CCE estimation of factor‐augmented regression models with more factors than o...
This paper considers estimation of factor-augmented panel data regression models. One of the most popular approaches towards this end is the common correlated effects (CCE)... -
Structural VARs and noninvertible macroeconomic models (replication data)
We resume the line of research pioneered by C. A. Sims and Zha (Macroeconomic Dynamics, 2006, 10, 231-272) and make two novel contributions. First, we provide a formal treatment... -
Selecting structural innovations in DSGE models (replication data)
Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We... -
Commodity prices and fiscal policy design: Procyclical despite a rule (replic...
Recent studies offer evidence of reduced fiscal procyclicality to commodity price changes in resource-rich countries-a feature commonly attributed to the adoption of fiscal...
