Search Results for author:
Found 10 papers, 1 papers with code
Transmission Channel Analysis in Dynamic Models
Our method, labelled Transmission Channel Analysis (TCA), allows for the decomposition of total effects captured by impulse response functions into the effects flowing along transmission channels, thereby providing a quantitative assessment of the strength of various transmission channels.
High-Dimensional Granger Causality for Climatic Attribution
In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcings and global temperatures.
Sparse High-Dimensional Vector Autoregressive Bootstrap
We introduce a high-dimensional multiplier bootstrap for time series data based capturing dependence through a sparsely estimated vector autoregressive model.
Inference in Non-stationary High-Dimensional VARs
We combine this lag augmentation with a post-double-selection procedure in which a set of initial penalized regressions is performed to select the relevant variables for both the Granger causing and caused variables.
Local Projection Inference in High Dimensions
In this paper, we estimate impulse responses by local projections in high-dimensional settings.
Min(d)ing the President: A text analytic approach to measuring tax news
We propose a novel text-analytic approach for incorporating textual information into structural economic models and apply this to study the effects of tax news.
bootUR: An R Package for Bootstrap Unit Root Tests
Unit root tests form an essential part of any time series analysis.
Lasso Inference for High-Dimensional Time Series
In this paper we develop valid inference for high-dimensional time series.
A dynamic factor model approach to incorporate Big Data in state space models for official statistics
In this paper we consider estimation of unobserved components in state space models using a dynamic factor approach to incorporate auxiliary information from high-dimensional data sources.
A Residual Bootstrap for Conditional Value-at-Risk
A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Value-at-Risk.
