We show that confidence regions covering the identified set may be preferable to confidence regions covering each of its points in robust control applications.

We show that con¯dence regions covering the identified set may be preferable to con¯dence regions covering each of its points in robust control applications.

We show that confidence regions covering the identified set may be preferable to confidence regions covering each of its points in robust control applications.

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical...

In this paper we consider the policy implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003a). This is a relatively large-scale forward looking model, which was shown to provide a good fit to the data. However there has been little previous work...

Recently there have been several studies that examined monetary policy under model uncertainty. These studies formulated uncertainty in a number of different ways. One of the prominent ways to formulate model uncertainty is to form a non-parametric set of perturbations around some nominal model...

The paper applies methods of functional data analysis – functional auto-regression, principal components and canonical correlations – to the study of the dynamics of interest rate curve. In addition, it introduces a novel statistical tool based on the singular value decomposition...