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Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic general equilibrium models. Yet there have been no workable rank conditions toExpand
Conditional Forecasts in Dynamic Multivariate Models
In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions. This paper develops Bayesian methodsExpand
Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
In this paper, we develop algorithms to independently draw from a family of conjugate posterior distributions over the structural parameterization when sign and zero restrictions are used to identifyExpand
Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previouslyExpand
Methods for Inference in Large Multiple-Equation Markov-Switching Models
The inference for hidden Markov chain models in which the structure is a multiple-equation macroeconomic model raises a number of difficulties that are not as likely to appear in smaller models. OneExpand
Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previouslyExpand
Minimal State Variable Solutions to Markov-Switching Rational Expectations Models
We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing these equilibria. WeExpand
Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices
Cubic splines have long been used to extract the discount, yield, and forward rate curves from coupon bond data. McCulloch used regression splines to estimate the discount function, and, moreExpand
Trends and Cycles in China's Macroeconomy
We make four contributions in this paper. First, we provide a core of macroeconomic time series usable for systematic research on China. Second, we document, through various empirical methods, theExpand
A Gibbs sampler for structural vector autoregressions
Abstract Structural VAR modeling has played an important role in empirical macroeconomics. The importance sampler used in the existing literature, however, can be prohibitively inefficient forExpand
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