2 papers
econ.EM2020
Dynamic Effects of Persistent Shocks
Mario Alloza, Jesus Gonzalo, Carlos Sanz
We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently i…
econ.EM2019
Quantile Factor Models
Liang Chen, Juan Jose Dolado, Jesus Gonzalo
Quantile Factor Models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike Approximate Factor Models (AFM), where only location-shifting factors ca…