2 papers
econ.EM2026
Clustered Local Projections for Short and Ultra-Short Time Series -- A Hierarchical Bayesian Framework
Todd Clark, Florian Huber
Estimating the dynamic effects of economic shocks in short and very short samples is impeded by a lack of degrees of freedom. We offer a solution based on a Bayesian hierarchical f…
econ.EM2026
A Flexible Approach to Augmenting a Bayesian VAR with Nonlinear Factors
Todd Clark, Florian Huber, Gary Koop
This paper proposes a vector autoregression augmented with nonlinear factors that are modeled nonparametrically using regression trees. There are four main advantages of our model.…