Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of …
Abstract
Recent work suggests VAR models of output, inflation, and interest rates may be
prone to instabilities. In the face of … discrete breaks in parameters, discounted least squares estimation, Bayesian
shrinkage, and detrending of inflation and …