3 papers
econ.EM2024
Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model
Massimiliano Marcellino, Andrea Renzetti, Tommaso Tornese
We develop a Functional Augmented Vector Autoregression (FunVAR) model to explicitly incorporate firm-level heterogeneity observed in more than one dimension and study its interact…
econ.EM2024
Nowcasting distributions: a functional MIDAS model
Massimiliano Marcellino, Andrea Renzetti, Tommaso Tornese
We propose a functional MIDAS model to leverage high-frequency information for forecasting and nowcasting distributions observed at a lower frequency. We approximate the low-freque…
econ.EM2024
Theory coherent shrinkage of Time-Varying Parameters in VARs
Andrea Renzetti
This paper introduces a novel theory-coherent shrinkage prior for Time-Varying Parameter VARs (TVP-VARs). The prior centers the time-varying parameters on a path implied a priori b…