- Paccagnini A, Parla F, February 2021, Identifying high-frequency shocks with Bayesian mixed-frequency VARs paper no. 26/2021.
- Koop G, McIntyre S, Mitchell J, Poon A, January 2021, Nowcasting ‘true’ monthly US GDP during the pandemic paper no. 14/2021.
- Chan JCC, Wemy E, December 2020, An unobserved components model of total factor productivity and the relative price of investment paper no. 109/2020.
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.