The solutions of a macroeconometricmodel with expectations of future-dated variables has to be approximated by numerical simulations. A brief review of deterministic and stochastic dynamic simulations of a backward-looking model is followed by a conceptual presentation of methods for dynamic...

We build a novel leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper is able to produce an ex-ante LI that is immune to "overlapping information drawbacks". In addition, the set of variables composing the LI...

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we...

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This paper analyzes the quantitative relevance of additive, multiplicative and data uncertainty in the implementation of Chile’s monetary policy. For the analysis of data uncertainty we focus on the uncertainty associated with the estimation of the output gap using real-time data and various...

Some methods from statistical machine learning and from robust statistics have two drawbacks. Firstly, they are computer-intensive such that they can hardly be used for massive data sets, say with millions of data points. Secondly, robust and non-parametric confidence intervals for the...

Non-pecuniary incentives motivated by insights from psychology ("nudges") have been shown to be effective tools to change behavior in a variety of fields. An often unanswered question relevant for public policy is whether these promising interventions can be scaled up. In cooperation with a...