This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for...

Delivered at the High Profile Speaker Series, New York Society of Security Analysts, New York City. November 8, 2010.

Presented at the Annual Dealmakers Event, San Diego, California.

Quantitative Easing (QE) Conference. 30 June 2011, St. Louis, MO

Presented at the 3rd Rocky Mountain Economic Summit, Jackson Hole, Wyoming

This paper develops a framework for inferring common Markov-switching components in a panel data set with large cross-section and time-series dimensions. We apply the framework to studying similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there...