We propose a method for conducting inference on impulse responses in structural vector autoregressions (SVARs) when the impulse response is not point identified because the number of equality restrictions one can credibly impose is not sufficient for point identification and/or one imposes sign...

We review the main identification strategies and empirical evidence on the role of expectations in the New Keynesian Phillips curve, paying particular attention to the issue of weak identification. Our goal is to provide a clear understanding of the role of expectations that integrates across...

This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which the principal components estimator of the factors is consistent and find that these...

When risk averse forecasters are presented with risk neutral proper scoring rules, they report probabilities whose ratios are shaded towards 1. If elicited probabilities are used as inputs to decision-making, naive elicitors may violate first-order stochastic dominance.

Danmarks Nationalbank regularly publishes an index of the development in the strength of the krone, the effective krone-rate index, and an index of the competitiveness of the Danish manufacturing sector, the real effective krone-rate index. Changing trade patterns make it necessary to revise the...

This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which the principal components estimator of the factors is consistent and find that these...

We review the main identification strategies and empirical evidence on the role of expectations in the New Keynesian Phillips curve, paying particular attention to the issue of weak identification. Our goal is to provide a clear understanding of the role of expectations that integrates across...