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Working Paper
Back to the Present: Learning about the Euro Area through a Now-casting Model
Modugno, Michele; Cascaldi-Garcia, Danilo; Ferreira, Thiago Revil T.; Giannone, Domenico (2021-03-30)
We build a model for simultaneously now-casting economic conditions in the euro area and its three largest member countries--Germany, France, and Italy. The model formalizes how market participants and policymakers monitor the euro area by incorporating all market moving indicators in real time. We find that area wide and country-specific data provide informative signals to now-cast the economic conditions in the euro area and member countries. The model provides accurate predictions of economic conditions in real time over a period that covers the past three recessions.
International Finance Discussion Papers , Paper 1313

Working Paper
Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
Clark, Todd E.; Carriero, Andrea; Marcellino, Massimiliano (2016-06-30)
Recent research has shown that a reliable vector autoregressive model (VAR) for forecasting and structural analysis of macroeconomic data requires a large set of variables and modeling time variation in their volatilities. Yet, there are no papers jointly allowing for stochastic volatilities and large datasets, due to computational complexity. Moreover, homoskedastic VAR models for large datasets so far restrict substantially the allowed prior distributions on the parameters. In this paper we propose a new Bayesian estimation procedure for (possibly very large) VARs featuring time varying ...
Working Papers (Old Series) , Paper 1617

Working Paper
Uniform Priors for Impulse Responses
Rubio-Ramirez, Juan F.; Waggoner, Daniel F.; Arias, Jonas E. (2023-09-28)
There has been a call for caution when using the conventional method for Bayesian inference in set-identified structural vector autoregressions on the grounds that the uniform prior over the set of orthogonal matrices could be nonuniform for individual impulse responses or other quantity of interest. This paper challenges this call by formally showing that, when the focus is on joint inference, the uniform prior over the set of orthogonal matrices is not only sufficient but also necessary for inference based on a uniform joint prior distribution over the identified set for the vector of ...
FRB Atlanta Working Paper , Paper 2023-13

Working Paper
Have Standard VARs Remained Stable since the Crisis?
Clark, Todd E.; Aastveit, Knut Are; Marcellino, Massimiliano; Carriero, Andrea (2014-09-18)
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, or to explicitly consider parameter time variation. The earlier literature focused on whether there were sizable parameter changes in the early 1980s, in either the conditional mean or variance parameters, and in the subsequent period till the beginning of the new century. In this paper we conduct a similar analysis but focus on the effects of the recent crisis. Using a ...
Working Papers (Old Series) , Paper 1411

Working Paper
Deep Neural Network Estimation in Panel Data Models
Chronopoulos, Ilias; Chrysikou, Katerina; Kapetanios, George; Mitchell, James; Raftapostolos, Aristeidis (2023-07-05)
In this paper we study neural networks and their approximating power in panel data models. We provide asymptotic guarantees on deep feed-forward neural network estimation of the conditional mean, building on the work of Farrell et al. (2021), and explore latent patterns in the cross-section. We use the proposed estimators to forecast the progression of new COVID-19 cases across the G7 countries during the pandemic. We find significant forecasting gains over both linear panel and nonlinear time-series models. Containment or lockdown policies, as instigated at the national level by governments, ...
Working Papers , Paper 23-15

Working Paper
Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis
Pesaran, M. Hashem; Raissi, Mehdi; Yang, Jui-Chung; Mohaddes, Kamiar; Kahn, Matthew E.; Engelhardt, Bryan (2019-07-01)
We study the long-term impact of climate change on economic activity across countries, using a stochastic growth model where labor productivity is affected by country-specific climate variables?defined as deviations of temperature and precipitation from their historical norms. Using a panel data set of 174 countries over the years 1960 to 2014, we find that per-capita real output growth is adversely affected by persistent changes in the temperature above or below its historical norm, but we do not obtain any statistically significant effects for changes in precipitation. Our counterfactual ...
Globalization Institute Working Papers , Paper 365

Working Paper
Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. (2025-08-20)
This paper provides a new methodology for the analysis of multiple long-run relations in panel data models where the cross-section dimension, n, is large relative to the time-series dimension, T. For panel data models with large n, researchers have focused on panels with a single long-run relationship. The main difficulty has been to eliminate short-run dynamics without generating significant uncertainty for identification of the long run. We overcome this problem by using non-overlapping sub-sample time averages as deviations from their full-sample counterpart and estimating the number of ...
Working Papers , Paper 2523

Working Paper
What the Iran War Teaches Us about the Price Elasticity of Oil Supply
Kilian, Lutz; Patel, Kunal (2026-08-06)
We draw on evidence from the 2026 Iran War to assess the validity of estimates of the short-run price elasticity of oil supply reported in the literature. Our analysis confirms that the one-month and one-quarter U.S. oil supply elasticity is effectively zero, consistent with estimates in Newell and Prest (2019). The data strongly reject the much higher elasticity estimates reported by more recent studies. This finding is consistent with evidence from surveys of oil company executives and with industry data about how long it takes to complete a well and start pumping oil. It is also consistent ...
Working Papers , Paper 2625

Working Paper
The Evolution of Health over the Life Cycle
Hosseini, Roozbeh; Kopecky, Karen A.; Zhao, Kai (2019-06-01)
We construct a unified objective measure of health status: the frailty index, defined as the cumulative sum of all adverse health indicators observed for an individual. First, we show that the frailty index has several advantages over self-reported health status, particularly when studying health dynamics. Then we estimate a stochastic process for frailty dynamics over the life cycle. We find that the autocovariance structure of frailty in panel data strongly supports a process that allows the conditional variance of frailty shocks to increase with age. Our frailty measure and dynamic process ...
FRB Atlanta Working Paper , Paper 2019-12

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