- Krippner L, January 2019, Will the real eigensystem VAR please stand up? A univariate primer paper no. 01/2019.
- Kapetanios G, Millard S, Petrova K, Price S, October 2018, Time varying cointegration and the UK great ratios paper no. 53/2018.
- Chan J, Doucet A, Leon-Gonzalez R, Strachan RW, October 2018, Multivariate stochastic volatility with co-heteroscedasticity paper no. 52/2018.
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.