This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...

Does crime in a neighborhood cause future crime? Without a source of quasi-experimental variation in local crime, we develop an identification strategy that leverages a recently developed test of exogeneity (Caetano (2015)) to select a feasible regression model for causal inference. Using a...

The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full collection of models and successively eliminates the...

This paper discusses how the forecast accuracy of a Bayesian vector autoregression(BVAR) is affected by introducing the zero lower bound on the federal funds rate. As abenchmark I adopt a common BVAR specification, including 18 variables, estimatedshrinkage, and no nonlinearity. Then I entertain...

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

The effects of the unconventional monetary policy (UMP) measures undertaken by the U.S. Federal Reserve (and other major central banks) remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has...

We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...

A substantial and rapidly growing literature has developed around estimating earnings gains from two-year college degrees using administrative data. These papers almost universally employ a person-level fixed effects strategy to estimate earnings premia net of fixed attributes. We note that the...

We present a sharp test for the efficiency of job separations. First, we document a dramatic increase in the separation rate - 11.2ppt (28%) over five years - in response to a quasi-experimental extension of UI benefit duration for older workers. Second, after the abolition of the policy, the...