Econometric and statistical methods
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Estimating DSGE-Model-Consistent Trends for Use in Forecasting
The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format. -
A Consistent Test for Multivariate Conditional Distributions
We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt.