This paper discusses the paper "The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions" by Neville Francis and Valerie A. Ramey. It argues that these authors have made great progress both in the precise measurement of labor input as well as determining the effect...

Estimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment, inflation, and inflation expectation. However, existing literature falls short in endogenizing inflation expectation together with NAIRU in a model consistent way. We develop and...

In this paper, I investigate the scope of a model with exogenous habit formation - or 'catching up with the Joneses', see Abel (1990) - to generate the observed equity premium as well as other key macroeconomic facts. Along the way, I derive restrictions for four out of eight parameters for a...

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

A Hidden Markov Model (HMM) is used to classify an out of sample observation vector into either of two regimes. This leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points. Instead o maximizing a likelihood, the model is estimated...

A Hidden Markov Model (HMM) is used to classify an out of sample <p> observation vector into either of two regimes. This leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points. <p> Instead o maximizing a likelihood, the model is estimated...</p></p>

A bivariate second-order VAR model of money growth and inflation is specified and estimatedby means of least squares. The bias of the parameter estimates is approximated in three ways and new, bias-reduced estimates are computed using the approximations. The effects of bias reduction on...

The paper discusses a simple univariate nonlinear parametric time-series model for unemployment rates, focusing on the asymmetry observed in many OECD unemployment rate series. The model is based on a standard logistic smooth transition autoregressive (LSTAR) model for the first difference of...

In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector...

The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of log-differences in per-capita GDP versus the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous...