We estimate the effects of domestic and international sources of macroeconomic uncertainty in three commonly studied small open economies (SOEs): Australia, Canada and New Zealand. To this end, we propose a common stochastic volatility in mean panel VAR (CSVM-PVAR), and develop an efficient...

Expenditure side and income side GDP are both measured at the quarterly frequency in the US and contain measurement error. They are noisy proxies of `true’ GDP. Several econometric methods exist for producing estimates of true GDP which reconcile these noisy estimates. Recently, the authors of...

Many recent papers in macroeconomics have used large Vector Autoregressions (VARs) involving a hundred or more dependent variables. With so many parameters to estimate, Bayesian prior shrinkage is vital in achieving reasonable results. Computational concerns currently limit the range of priors...