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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019
Persistent link: https://www.econbiz.de/10012244156
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What's trending in difference-in-differences? : a synthesis of the recent econometrics literature
Roth, Jonathan; Sant'Anna, Pedro H. C.; Bilinski, Alyssa; … - In: Journal of econometrics 235 (2023) 2, pp. 2218-2244
Persistent link: https://www.econbiz.de/10014471452
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The Uncertain Unit Root in the U.S. Poverty Rate
Raj, Baldev; Slottje, Daniel J. - 1998
The U.S. poverty rate, like many other aggregate economic time series, shows considerable persistence. It is logical to … consider the model involving a unit root to provide a good description of the data generation process for the poverty rate. We … pretest for unit roots in annual U.S. poverty rate data for the postwar period to examine its long-run features given the …
Persistent link: https://www.econbiz.de/10014063925
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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2018
Persistent link: https://www.econbiz.de/10012202254
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A more credible approach to parallel trends
Rambachan, Ashesh; Roth, Jonathan - In: The review of economic studies : RES 90 (2023) 5, pp. 2555-2591
Persistent link: https://www.econbiz.de/10014392027
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The construction and interpretation of combined cross-section and time-series inequality datasets
Francois, Joseph F.; Rojas-Romagosa, Hugo - 2005
estimate the entire income distribution; computing alternativeinequality indexes and poverty estimates. Finally, we have used … our broad1y comparabledataset to examine international patterns of inequality and poverty. …
Persistent link: https://www.econbiz.de/10011346482
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Sensitivity to serial dependency of input processes : a robust approach
Lam, Henry - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1311-1327
Persistent link: https://www.econbiz.de/10011847235
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Different versions of the Easterlin Paradox : new evidence for European countries
Kaiser, Caspar F.; Vendrik, Maarten C. - 2018
Richer people are happier than poorer people, but when a country becomes richer over time, its people do not become happier. This seemingly contradictory pair of findings of Richard Easterlin has be-come famous as the Easterlin Paradox. However, it was met with counterevidence. To shed more...
Persistent link: https://www.econbiz.de/10011951423
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Nonlinear innovations and impulse responses with application to VaR sensitivity
Gouriéroux, Christian; Jasiak, Joann - In: Annales d'économie et de statistique 78 (2005), pp. 1-31
Persistent link: https://www.econbiz.de/10003278419
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How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis
Chan, Joshua - 2018
Vector autoregressions combined with Minnesota-type priors are widely used for macroeconomic forecasting. The fact that strong but sensible priors can substantially improve forecast performance implies VAR forecasts are sensitive to prior hyperparameters. But the nature of this sensitivity is...
Persistent link: https://www.econbiz.de/10012917924