4 citations · 5 across the 4 of their papers we have counts for
4 papers
Parameter Identification and Inference in Discretely Sampled or Temporally Aggregated Autoregressions
Marko Mlikota
I consider an AR() process that is observed every periods, either as a snapshot (stock variable) or as a sum over the sampling interval (flow variable). I first characterize…
Origins and Nature of Macroeconomic Instability in Vector Autoregressions
Pooyan Amir-Ahmadi, Marko Mlikota, Dalibor Stevanović
For a general class of dynamic and stochastic structural models, we show that (i) non-linearity in economic dynamics is a necessary and sufficient condition for time-varying parame…
Dynamic Innovation Transmission Through Networks: Theory, Large T-Inference, and Business Cycles by Lagged Input-Output Conversion
Marko Mlikota
I develop an econometric framework that rationalizes the dynamics of a cross-sectional variable by lagged transmissions of innovations along bilateral links between units. While ne…
Sequential Monte Carlo With Model Tempering
Marko Mlikota, Frank Schorfheide
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such mo…