Markov switching models are a common tool used in many disciplines as well as in Economics, and estimation methods are available in many software packages. Estimated models are commonly used for allocating observations to regimes. This allocation is usually done using a rule based on the...

What drives the recent inflation surge? To answer this question, one must decompose inflation fluctuations into the contribution of structural shocks. We document how whimsical such a historical shock decomposition can be in standard vector autoregressive (VAR) models. We show that the...

We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate likelihood-based estimators in mean squared error and composite models are...

Dynamic equilibrium models are specifted to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes, especially in models with several unit roots. We...