We propose a simple modification of Hamilton’s (2018) time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical...

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of regressions with many regressors using LASSO...

The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed...

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...