We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian … efficient simulation smoother, which relies on mean corrections for unconditional vectors. When applied to a factor model, the … proposed simulation smoother for the states is efficient compared to other state-space models without lagged states and …

and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …

models. We illustrate this by means of an empirical replication of a widely cited study, as well as a simulation exercise. …

estimated by VARs, local projections, and simulation methods. We show that the use of our criteria significantly affects …

general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that our …

importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …