Most macroeconomic data are uncertain - they are estimates rather than perfect measures. Use of these uncertain data to form an assessment of current activity can be viewed as a problem of signal extraction. One symptom of that uncertainty is the propensity of statistical agencies to revise...

Most macroeconomic data are uncertain - they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper...

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...