Browsing Research Publications and Outputs by subject "1403 Econometrics"
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Cyclical signals from the labor market
Published 2022We consider which labor market variables are the most informative for estimating and nowcasting the US output gap using a multivariate trend-cycle decomposition. Although the unemployment rate clearly contains important ...Open AccessArticle -
Estimating and accounting for the output gap with large Bayesian vector autoregressions
Published 2020We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the Beveridge–Nelson decomposition based on a vector autoregression, ...Article -
Estimating household consumption insurance
Published 2021Blundell, Pistaferri, and Preston (American Economic Review, 2008, 98(5), 1887–1921) report an estimate of household consumption insurance with respect to permanent income shocks of 36%. In replicating findings for their ...Open AccessArticle -
Likelihood-ratio-based confidence sets for the timing of structural breaks
Published 2015We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate ...Article -
Nowcasting the output gap
Published 2020We propose a way to directly nowcast the output gap using the Beveridge–Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. ...Article -
When is discretionary fiscal policy effective?
Published 2021We investigate the effects of discretionary changes in government spending and taxes using a medium-scale nonlinear vector autoregressive model with policy shocks identified via sign restrictions. Tax cuts and spending ...Article -
Why Has the U.S. Economy Stagnated Since the Great Recession?
Published 2022Since the Great Recession in 2007–2009, U.S. real GDP has failed to return to its previously projected path, a phenomenon widely associated with secular stagnation. We investigate whether this stagnation was due to hysteresis ...Article