Research Department Working Papers
Impulse Response Diagnostics for Priors on Parameters in Structural Vector Autoregressions
This paper proposes verifying that the prior distribution of impulse responses in structural VAR models is not unintentionally informative and discusses diagnostic tools to help practitioners ensure their priors do not unduly influence their reported conclusions.
February 25, 2025
Research Department Working Papers
Nonparametric Local Projections
This paper studies the properties of an alternative nonparametric local projection estimator of the conditional and unconditional responses of an outcome variable to an observed identified shock.
November 20, 2024
Research Department Working Papers
A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors
This paper develops a test for instrument strength based on the bias of two-stage least squares (2SLS) that (1) generalizes the tests of Stock and Yogo (2005) and Sanderson and Windmeijer (2016) to be robust to heteroskedasticity and autocorrelation, and (2) extends the Montiel Olea and Pflueger (2013) robust test for models with a single endogenous regressor to multiple endogenous regressors.
September 26, 2024
Globalization Institute Working Paper
The Contribution of Foreign Holdings of U.S. Treasury Securities to the U.S. Long-Term Interest Rate: An Empirical Investigation of the Impact of the Zero Lower Bound
This paper finds empirical evidence of a possible structural break in the relationship between the foreign holdings of U.S. Treasury securities and the U.S. long-term interest rate occurring at the time when U.S. monetary policy became constrained at the zero-lower bound (ZLB).
September 25, 2024
Globalization Institute Working Paper
Just Do IT? An Assessment of Inflation Targeting in a Global Comparative Case Study
This paper introduces novel measures to assess the effectiveness of inflation targeting (IT) and examines its performance across a broad sample of advanced economies (AEs) and emerging market and developing economies (EMDEs).
August 21, 2024
Globalization Institute Working Paper
Xtpb: The Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogeneous Panels
This paper introduces a new Stata command, xtpb, that implements the Chudik, Pesaran and Smith (2023) Pooled Bewley (PB) estimator of long-run relationships in dynamic heterogeneous panel-data models.
August 20, 2024
Globalization Institute Working Paper
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
This paper considers the problem of variable selection allowing for parameter instability.
August 05, 2024
Research Department Working Papers
When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?
Several recent studies have expressed concern that the Haar prior typically employed in estimating sign-identified VAR models is driving the prior about the structural impulse responses and hence their posterior. This paper provides evidence that the quantitative importance of the Haar prior for posterior inference has been overstated.
July 09, 2024
Research Department Working Papers
Dynamic Identification Using System Projections on Instrumental Variables
This paper proposes System Projections on Instrumental Variables (SP-IV) to estimate structural relationships using regressions of structural impulse responses obtained from local projections or vector autoregressions.
July 03, 2024
Globalization Institute Working Paper
Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels
This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses of common shocks in large panels with one or two cross-section dimensions.
May 07, 2024