- Pauwels L, Radchenko P, Vasnev AL, May 2020, Higher moment constraints for predictive density combination paper no. 45/2020.
- Berger T, Richter J, Wong B, May 2020, Financial factors and the business cycle paper no. 44/2020.
- Coe PJ, Vahey SP, April 2020, Financial conditions and the risks to economic growth in the United States since 1875 paper no. 36/2020.
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.