We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time-varying coefficients and conduct an extensive simulation study to assess their performance. Our exploration covers a wide range of scenarios, encompassing serially correlated,...

We study a nonlinear relationship between corporate investment and Tobin’s q in the cross-section. After correcting for nonseparable measurement error in q with the aid of repeated measurement, we find evidence of heterogeneity in the investment-q relation. The investment-q sensitivity is...

This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions to analyze the effects of different economic shocks. We argue that controlling for non-linearities between a large-dimensional dataset and the latent factors is particularly useful during turbulent...

This paper presents an estimation of the fiscal multipliers for Saudi Arabia, conducted by applying the local projection (LP) method. It also presents an exploration of the non-linear features of fiscal multipliers. The findings showed that (i) consistent with earlier studies, fiscal multipliers...

Health expenditure data almost always include extreme values, implying that the underlying distribution has heavy tails. This may result in infinite variances as well as higher-order moments and bias the commonly used least squares methods. To accommodate extreme values, we propose an estimation...

Building on automatic differentiation, I propose a solution method for heterogeneous agents models with many aggregate equations which allows to account even for strong nonlinearities. A powerful open source reference implementation is provided which typically solves the canonical HANK model...

Traditional asset pricing tests boil down to evaluating the maximum Sharpe ratio obtained from the factors in a given model. This implicitly assumes the linear stochastic discount factor (SDF) that prices the factors as the asset pricing model. We generalize this approach by considering a...

We use a Bayesian Threshold Vector Autoregression model identified through sign and narrative restrictions to uncover non-linearities in the propagation of energy supply shocks. We find that the transmission of energy supply shocks on consumer prices is stronger in high-inflation regimes,...