This paper provides international evidence on time-variation in trend productivity growth, based on the dataset for hours worked constructed by Ohanian & Raffo (2012). Applying both the endogenous break tests of Bai & Perron (1998, 2003) and the Stock & Watson (1996, 1998) TVP-MUB methodology,...

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...