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 survey uses a number of recent developments in the analysis of cointegrating Vector
Autoregressions (VARs) to examine their links to the older structural modelling traditions …

For the first time, this study creates and introduces a new determinant to be used in empirical
models of environmental pollution, especially in the USA. This new determinant, created as …

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 …

Studies identifying oil shocks using structural vector autoregressions (VARs) reach different
conclusions on the relative importance of supply and demand factors in explaining oil …

This paper makes the following original contributions to the literature.(i) We develop a
simpler analytical characterization and numerical algorithm for Bayesian inference in …

This paper uses survey expectations data to construct empirical proxies for time-varying
business-level uncertainty. Access to the micro data from the German IFO Business Climate …

Recently, Perron has carried out tests of the unit-root hypothesis against the alternative
hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 …

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 …

Using a Bayesian likelihood approach, we estimate a dynamic stochastic general
equilibrium model for the US economy using seven macroeconomic time series. The model …