| Publication | Date of Publication | Type |
|---|
Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three-pass regression filter
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-22 | Paper |
A similarity-based approach for macroeconomic forecasting
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-22 | Paper |
Markov-Switching MIDAS Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Common Drifting Volatility in Large Bayesian VARs
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Point, interval and density forecasts of exchange rates with time varying parameter models
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-13 | Paper |
Mixed frequency structural vector auto-regressive models
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-10 | Paper |
Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-02 | Paper |
Classical time varying factor-augmented vector auto-regressive models -- estimation, forecasting and structural analysis
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-02 | Paper |
Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-02 | Paper |
Markov-Switching Three-Pass Regression Filter
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Forecasting U.S. inflation using Bayesian nonparametric models
The Annals of Applied Statistics | 2024-04-15 | Paper |
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
International Economic Review | 2023-11-16 | Paper |
Macro uncertainty in the long run
Economics Letters | 2023-07-19 | Paper |
Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Journal of Econometrics | 2022-03-16 | Paper |
Time-varying instrumental variable estimation
Journal of Econometrics | 2021-10-26 | Paper |
Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
Journal of Econometrics | 2021-10-26 | Paper |
Mixed-frequency vector autoregressive models
VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims | 2020-07-10 | Paper |
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Journal of Econometrics | 2019-09-02 | Paper |
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
The Annals of Applied Statistics | 2019-02-25 | Paper |
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
Journal of Forecasting | 2018-10-12 | Paper |
Explaining the time-varying effects of oil market shocks on US stock returns
Economics Letters | 2018-09-12 | Paper |
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
| scientific article; zbMATH DE number 6811485 (Why is no real title available?) | 2017-11-22 | Paper |
Monetary, fiscal and oil shocks: evidence based on mixed frequency structural FAVARs
Journal of Econometrics | 2016-07-12 | Paper |
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Journal of Econometrics | 2016-06-10 | Paper |
Structural analysis with multivariate autoregressive index models
Journal of Econometrics | 2016-05-10 | Paper |
Factor-GMM estimation with large sets of possibly weak instruments
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
A parametric estimation method for dynamic factor models of large dimensions
Journal of Time Series Analysis | 2011-02-22 | Paper |
Survey data as coincident or leading indicators
Journal of Forecasting | 2011-01-06 | Paper |
Cross-sectional averaging and instrumental variable estimation with many weak instruments
Economics Letters | 2010-09-07 | Paper |
Interpolation and backdating with a large information set
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Factor analysis in a model with rational expectations
Econometrics Journal | 2008-08-21 | Paper |
Pooling‐Based Data Interpolation and Backdating
Journal of Time Series Analysis | 2007-12-16 | Paper |
Some cautions on the use of panel methods for integrated series of macroeconomic data
Econometrics Journal | 2005-07-04 | Paper |
Time‐scale transformations of discrete time processes
Journal of Time Series Analysis | 2005-05-20 | Paper |
MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
Macroeconomic Dynamics | 2003-01-01 | Paper |
| scientific article; zbMATH DE number 1790591 (Why is no real title available?) | 2002-08-28 | Paper |
Fiscal forecasting: The track record of the IMF, OECD and EC
The Econometrics Journal | 2002-02-19 | Paper |
