3 citations · 3 across the 3 of their papers we have counts for
5 papers
Convergence of Computed Dynamic Models with Unbounded Shock
Kenichiro McAlinn, Kosaku Takanashi
This paper studies the asymptotic convergence of computed dynamic models when the shock is unbounded. Most dynamic economic models lack a closed-form solution. As such, approximate…
Controlling False Discovery Rates under Cross-Sectional Correlations
Junpei Komiyama, Masaya Abe, Kei Nakagawa +1
We consider controlling the false discovery rate for testing many time series with an unknown cross-sectional correlation structure. Given a large number of hypotheses, false and m…
Mean-shift least squares model averaging
Kenichiro McAlinn, Kosaku Takanashi
This paper proposes a new estimator for selecting weights to average over least squares estimates obtained from a set of models. Our proposed estimator builds on the Mallows model…
Dynamic Sparse Factor Analysis
Kenichiro McAlinn, Veronika Rockova, Enakshi Saha
Its conceptual appeal and effectiveness has made latent factor modeling an indispensable tool for multivariate analysis. Despite its popularity across many fields, there are outsta…
Large-Scale Dynamic Predictive Regressions
Daniele Bianchi, Kenichiro McAlinn
We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under th…