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Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Pan...
The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of... -
Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Cho...
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality... -
Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
Model selection with estimated factors and idiosyncratic components (replicat...
This paper provides consistent information criteria for the selection of forecasting models that use a subset of both the idiosyncratic and common factor components of a big... -
An endogenously clustered factor approach to international business cycles (r...
Factor models have become useful tools for studying international business cycles. Block factor models can be especially useful as the zero restrictions on the loadings of some...
