- Chan JCC, October 2019, Large hybrid time-varying parameter VARs paper no. 77/2019.
- Kamber G, Wong B, August 2019, Global factors and trend inflation paper no. 62/2019.
- Chan JCC, August 2019, Minnesota-type adaptive hierarchical priors for large Bayesian VARs paper no. 61/2019.
This program focuses on the role of model uncertainty in empirical macroeconomics. This literature treats the ‘true’ model as an unobservable - an admission that has implications for many areas of macroeconomic analysis and has generated two distinct research sub-programs. One represents a renewed interest in model evaluation, comparison, selection and combinations when model misspecification is explicitly recognized. A second sub-program is based on accounting for model uncertainty explicitly in constructing predictive densities for objects of economic interest, conducting statistical inference and evaluating policies.