This chapter reviews and synthesizes our current understanding of the shocks that drive
economic fluctuations. The chapter begins with an illustration of the problem of identifying …

This article surveys work on a class of models, dynamic factor models (DFMs), that has
received considerable attention in the past decade because of their ability to model …

This chapter provides an overview of and user's guide to dynamic factor models (DFMs),
their estimation, and their uses in empirical macroeconomics. It also surveys recent …

Traditionally, economic growth and business cycles have been treated independently.
However, the dependence of GDP levels on its history of shocks, what economists refer to as …

Public capital can play an important role in increasing long-run output and standards of
living. Because of nonrivalry in consumption, non excludability in use, or both, the private …

In this paper, we develop algorithms to independently draw from a family of conjugate
posterior distributions over the structural parameterization when sign and zero restrictions …

This paper proposes a very tractable approach to modeling changes in regime. The
parameters of an autoregression are viewed as the outcome of a discrete-state Markov …

When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈-pohl (1991)), a
suitable textbook for this? eld was not available. Given the great importance these methods …

Building on Koop,[Koop et al.(1996) Impulse response analysis in nonlinear multivariate
models. Journal of Econometrics 74, 119–147] we propose thegeneralized'impulse …

Efficient estimators of cointegrating vectors are presented for systems involving deterministic
components and variables of differing, higher orders of integration. The estimators are …