This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...

This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...

This study aims to re-examine the time-varying structure of exchange rate pass-through (ERPT), adopting a distinct empirical route, dynamic model averaging (DMA) method. This method allows both parameters and predictors of the model to change over time, encompassing model uncertainty in the...

We develop a dynamic urban model combining features of quantitative spatial and macro-housing models. It includes multiple locations, forward-looking households, commuting, costly migration, uninsurable income risk, housing tenure choice, and housing frictions. The model operates in continuous...

This paper studies how dynamic changes in the search environment affect consumer search and purchase behavior. We develop a dynamic model that incorporates a non-stationary search environment and propose a feasible estimation procedure to estimate its parameters. We apply our model and...