#### Filter Results:

- Full text PDF available (50)

#### Publication Year

1997

2016

- This year (0)
- Last 5 years (5)
- Last 10 years (17)

#### Publication Type

#### Co-author

#### Journals and Conferences

Learn More

- Jon Faust, David R. Bowman, +7 authors Michael Sharkey
- 1998

This paper presents a new way to assess robustness of claims from identi ed VAR work. All possible identi cations are checked for the one that is worst for the claim, subject to the restriction thatâ€¦ (More)

S vector autoregressions have become one of the major ways of extracting information about the macro economy. One might cite three major uses of them in macroeconometric research: for quantifyingâ€¦ (More)

- Adrian R. Pagan
- 2001

Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity prices. We begin with aâ€¦ (More)

- Michael McAleer, Felix Chan, +8 authors Jun Yu
- 2008

This paper develops a generalized autoregressive conditional correlation ~GARCC! model when the standardized residuals follow a random coefficient vector autoregressive process+ As a multivariateâ€¦ (More)

- Seonghoon Cho, Antonio Moreno, +8 authors Adrian R. Pagan
- 2005

This paper presents a small-sample study of the three-equation-three variable NewKeynesian macro model. While the point estimates imply that the Fed has been stabilizing inflation fluctuations sinceâ€¦ (More)

The paper looks at estimation of structural VARs with sign restrictions. Since sign restrictions do not generate a unique model it is necessary to find some way of summarizing the information theyâ€¦ (More)

The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assumeâ€¦ (More)

Wells and other conference participants for their comments on the earlier version of this paper. The views expressed in this paper are those of the authors and should not be attributed to the Reserveâ€¦ (More)

Macroeconometric and nancial researchers often use secondary or constructed binary random variables that di er in terms of their statistical properties from the primary random variables used inâ€¦ (More)

- Claudio Borio, Piti Disyatat, +13 authors Andrzej SÅ‚awiÅ„ski
- 2015

This paper argues that information about the financial cycle should be incorporated in measures of potential output. Identifying potential output with non-inflationary output is too restrictive givenâ€¦ (More)