C53

Gary Koop · Dimitris Korobilis

This 2014 European Economic Review paper by Gary Koop and Dimitris Korobilis develops a time-varying-parameter factor-augmented VAR (TVP-FAVAR) with dynamic model averaging (DMA) to construct a …

Richard A. Meese · Kenneth Rogoff

Across the dollar/mark, dollar/pound, dollar/yen and trade-weighted dollar rates over November 1976 to June 1981, no structural exchange rate model, univariate time series model, vector autoregression …

Kirstin Hubrich · Yves S. Schüler · Daniel Waggoner

This paper investigates the role of leverage of financial institutions in amplifying the transmission of financial shocks to the macroeconomy, with particular attention to whether that amplification …

John F. Muth

This 1961 Econometrica paper by John Muth proposes that economic expectations should be modeled as essentially the same as the predictions of the relevant economic theory itself -- so that, for a …

José Luis Montiel Olea · Mikkel Plagborg-Møller

This 2019 Journal of Applied Econometrics paper by José Luis Montiel Olea and Mikkel Plagborg-Møller addresses a practical problem in applied time-series econometrics: which "simultaneous" (joint, …

James H. Stock · Mark W. Watson

This 2001 Journal of Economic Perspectives paper by James Stock and Mark Watson reviews how vector autoregressions (VARs) have performed at the four core tasks of applied macroeconometrics — data …