4 papers
Disentangling Structural Breaks in Factor Models for Macroeconomic Data
Bonsoo Koo, Benjamin Wong, Ze-Yu Zhong
We develop a projection-based decomposition to disentangle structural breaks in the factor variance and factor loadings. Our approach yields test statistics that can be compared ag…
What Impulse Response Do Instrumental Variables Identify?
Bonsoo Koo, Seojeong Lee, Myung Hwan Seo +1
The local projection-instrumental variable (LP-IV) literature has been largely silent on cases in which impulse responses are set-identified, arising when the shock of interest is…
Loss-Based Variational Bayes Prediction
David T. Frazier, Ruben Loaiza-Maya, Gael M. Martin +1
We propose a new approach to Bayesian prediction that caters for models with a large number of parameters and is robust to model misspecification. Given a class of high-dimensional…
Indirect Inference for Locally Stationary Models
David Frazier, Bonsoo Koo
We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asy…