Building on a frequency-domain identification within a nonlinear Structural Dynamic Factor Model, we study the nonlinear transmission of demand and supply shocks, the two shocks accounting for the bulk of fluctuations in U.S. macroeconomic variables. Supply shocks propagate symmetrically and are...

This paper investigates the relationship between corporate income tax rates (CITR) and firm-level productivity growth using AMADEUS data of 304,410 observations from 79,842 European firms from 2006 to 2019. The results imply a robust non-linear relationship: higher CITRs are positively...

This paper presents a method to improve existing spatial dependence-robust inference procedures for spatial data. Our method involves augmenting a regression specification with functions of locations that reduce spatial correlation in regression scores and serves as a pre-whitener, followed by...

This study proposes an optimized estimation approach for Self-Exciting Threshold Autoregressive (SETAR) models by integrating the Majorization-Minimization Group Least Absolute Shrinkage and Selection Operator (MM-gLASSO) algorithm, with a primary focus on improving forecasting performance in...