We consider the problem of model averaging over a set of semiparametric varying coefficient models where the varying coefficients can be functions of continuous and categorical variables. We propose a Mallows model averaging procedure that is capable of delivering model averaging estimators with...

By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility function is equal to the ratio of the Dupire local volatility function over the root conditional mean...

This paper estimates determinants of long-run growth rates of GDP per capita in a cross section of countries. We propose a novel Measurement Error Model Averaging (MEMA) approach that accounts for measurement error in international income data as well as model uncertainty. Estimating the model...

Despite the declining trends in total energy consumption, greenhouse gas emissions, energy intensity, and emission intensity over the past two decades, Romania still emits more greenhouse gas per unit of output than many other members of the European Union. The country is looking for further...

This paper uses a three-step Bayesian cross-entropy estimation approach in an environment of noisy and scarce data to estimate behavioral parameters for a computable general equilibrium model. The estimation also measures how labor-augmenting productivity and other structural parameters in the...

This paper shows entropic tilting to be a flexible and powerful tool for combining medium-term forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and...

This work presents a stochastic framework for assessing public debt sustainability and applies it to the case of Mauritania. The sustainability assessment projects solvency and liquidity indicators -- public debt stock and gross financing needs relative to GDP -- for 2014-23. The analysis uses...

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with market uncertainty. During calm periods, the underlying risk forecast models...

Development economics in the 1950s and 1960s, as Tinbergen and Adelman saw it, was a “groping in the dark.” Besides the limited knowledge of dynamic mechanisms, the lack of data was a severe problem for any attempt at modeling, whether macroeconomic, input-output or in the tradition of...