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Alexei Onatski

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.

    Mentioned in:

    1. Spurious Factor Analysis
      by Francis Diebold in No Hesitations on 2020-07-14 17:50:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models
  2. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Alexei Onatski & Noah Williams, 2010. "Empirical and policy performance of a forward-looking monetary model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176.

    Mentioned in:

    1. Empirical and policy performance of a forward-looking monetary model (Journal of Applied Econometrics 2010) in ReplicationWiki ()

Working papers

  1. Marc Henry & Alexei Onatski, 2021. "Set coverage and robust policy," Papers 2106.09784, arXiv.org.

    Cited by:

    1. Lukáš Lafférs, 2019. "Bounding average treatment effects using linear programming," Empirical Economics, Springer, vol. 57(3), pages 727-767, September.
    2. Molinari, Francesca, 2020. "Microeconometrics with partial identification," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 355-486, Elsevier.
    3. Galichon, Alfred & Henry, Marc, 2013. "Dilation bootstrap," Journal of Econometrics, Elsevier, vol. 177(1), pages 109-115.
    4. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Magnac, Thierry, 2014. "Identification partielle: méthodes et conséquences pour les applications empiriques," TSE Working Papers 14-458, Toulouse School of Economics (TSE).
    6. Marc Henry & Romuald Méango & Maurice Queyranne, 2012. "Combinatorial Bootstrap Inference IN in Prtially Identified Incomplete Structural Models," CIRJE F-Series CIRJE-F-837, CIRJE, Faculty of Economics, University of Tokyo.

  2. Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Rajveer Jat & Daanish Padha, 2024. "Kernel Three Pass Regression Filter," Papers 2405.07292, arXiv.org, revised Dec 2025.
    2. Zhentao Shi & Jin Xi & Haitian Xie, 2025. "A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data," Papers 2505.22388, arXiv.org.
    3. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    4. Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang, 2023. "Eigen-Analysis for High-Dimensional Time Series Clustering," Monash Econometrics and Business Statistics Working Papers 22/23, Monash University, Department of Econometrics and Business Statistics.
    5. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
    6. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    7. Mei, Ziwei & Shi, Zhentao, 2024. "On LASSO for high dimensional predictive regression," Journal of Econometrics, Elsevier, vol. 242(2).
    8. Christian Bayer & Luis Calderon & Moritz Kuhn, 2025. "Distributional Dynamics," CRC TR 224 Discussion Paper Series crctr224_2025_625, University of Bonn and University of Mannheim, Germany.
    9. You, Yu & Lee, Junsoo & Kim, Yoonbai & Yang, Zheng, 2024. "Comovement and Global Imbalances of Current Accounts," Economic Systems, Elsevier, vol. 48(4).
    10. Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
    11. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    12. Hasan Isomitdinov & Vladimir Arčabić & Junsoo Lee & Youngjin Yun & James E. Payne, 2024. "International comovements of public debt," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 722-747, April.
    13. Yoosoon Chang & J. Isaac Miller & Joon K. Park, 2024. "Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change," CAEPR Working Papers 2024-007 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    14. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    15. Pablo Guerron-Quintana & Alexey Khazanov & Molin Zhong, 2026. "A Nonlinear Dynamic Factor Model for Financial and Macroeconomic Data," Boston College Working Papers in Economics 1106, Boston College Department of Economics.
    16. Hidalgo-Aréstegui, Alessandra & Porter, Catherine & Sánchez, Alan & Singhal, Saurabh, 2025. "The long shadow of conflict on human capital: Intergenerational evidence from Peru," Journal of Development Economics, Elsevier, vol. 174(C).
    17. Alessandro Morico & Ovidijus Stauskas, 2025. "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD-QD Dataset," Papers 2504.08455, arXiv.org, revised Nov 2025.
    18. Ren, Xiyu & Marotta, Fulvia & Lafond, François, 2025. "Do common shocks drive changes in aggregate emissions intensity?," INET Oxford Working Papers 2025-15, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, revised Feb 2026.

  3. Onatski, A. & Wang, C., 2018. "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics 1805, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Smeekes, Stephan & Wijler, Etienne, 2021. "An automated approach towards sparse single-equation cointegration modelling," Journal of Econometrics, Elsevier, vol. 221(1), pages 247-276.
    2. Anna Bykhovskaya & Vadim Gorin & Eszter Kiss, 2025. "Largevars: An R Package for Testing Large VARs for the Presence of Cointegration," Papers 2509.06295, arXiv.org.
    3. Feng, Zongbao & Chen, Weiya & Liu, Yang & Chen, Hongyu & Skibniewski, Mirosław J., 2023. "Long-term equilibrium relationship analysis and energy-saving measures of metro energy consumption and its influencing factors based on cointegration theory and an ARDL model," Energy, Elsevier, vol. 263(PD).
    4. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de Economía.
    5. Anna Bykhovskaya & Vadim Gorin, 2022. "Asymptotics of Cointegration Tests for High-Dimensional VAR($k$)," Papers 2202.07150, arXiv.org, revised Nov 2023.
    6. Chudik, A. & Pesaran, M. H. & Smith, R. P., 2025. "Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios," Cambridge Working Papers in Economics 2538, Faculty of Economics, University of Cambridge.
    7. Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
    8. Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2025. "Analysis of Multiple Long-Run Relations in Panel Data Models," Papers 2506.02135, arXiv.org, revised Sep 2025.
    9. Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org, revised Sep 2025.
    10. Anna Bykhovskaya & Vadim Gorin, 2024. "Canonical Correlation Analysis: review," Papers 2411.15625, arXiv.org, revised Nov 2025.
    11. Anna Bykhovskaya & Vadim Gorin, 2023. "High-Dimensional Canonical Correlation Analysis," Papers 2306.16393, arXiv.org, revised Jan 2025.

  4. Johnstone, I. M & Onatski, A., 2018. "Testing in High-Dimensional Spiked Models," Cambridge Working Papers in Economics 1806, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.

  5. Onatski, A., 2018. "Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise," Cambridge Working Papers in Economics 1808, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
    2. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
    3. Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.

  6. Alexei Onatski & Chen Wang, 2016. "Alternative Asymptotics for Cointegration Tests in Large VARs," Cambridge Working Papers in Economics 1637, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Liang, Chong & Schienle, Melanie, 2019. "Determination of vector error correction models in high dimensions," Working Paper Series in Economics 124, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    2. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2025. "Detecting sparse cointegration," UC3M Working papers. Economics 45708, Universidad Carlos III de Madrid. Departamento de Economía.
    3. Georg Keilbar & Yanfen Zhang, 2021. "On cointegration and cryptocurrency dynamics," Digital Finance, Springer, vol. 3(1), pages 1-23, March.
    4. Chudik, A. & Pesaran, H. & Mohaddes, K., 2018. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Cambridge Working Papers in Economics 1874, Faculty of Economics, University of Cambridge.
    5. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
    6. Morten {O}rregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2023. "Inference on common trends in functional time series," Papers 2312.00590, arXiv.org, revised Oct 2025.
    7. Mei, Ziwei & Shi, Zhentao, 2024. "On LASSO for high dimensional predictive regression," Journal of Econometrics, Elsevier, vol. 242(2).
    8. Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "LASSO Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Jan 2026.
    9. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de Economía.
    10. Anna Bykhovskaya & Vadim Gorin, 2022. "Asymptotics of Cointegration Tests for High-Dimensional VAR($k$)," Papers 2202.07150, arXiv.org, revised Nov 2023.
    11. Chudik, A. & Pesaran, M. H. & Smith, R. P., 2025. "Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios," Cambridge Working Papers in Economics 2538, Faculty of Economics, University of Cambridge.
    12. Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
    13. Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Papers 1806.03647, arXiv.org.
    14. Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2025. "Analysis of Multiple Long-Run Relations in Panel Data Models," Papers 2506.02135, arXiv.org, revised Sep 2025.
    15. Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
    16. Casoli, Chiara & Lucchetti, Riccardo (Jack), "undated". "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
    17. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
    18. Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023. "Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach," Journal of Econometrics, Elsevier, vol. 237(2).
    19. Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org, revised Sep 2025.
    20. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
    21. Marie Levakova & Susanne Ditlevsen, 2024. "Penalisation Methods in Fitting High‐Dimensional Cointegrated Vector Autoregressive Models: A Review," International Statistical Review, International Statistical Institute, vol. 92(2), pages 160-193, August.
    22. Onatski, Alexei & Wang, Chen, 2019. "Extreme canonical correlations and high-dimensional cointegration analysis," Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
    23. Morten Ørregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2020. "Inference on the dimension of the nonstationary subspace in functional time series," Working Paper 1420, Economics Department, Queen's University.

  7. Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2012. "Signal Detection in High Dmension: The Multispiked Case," Working Papers ECARES ECARES 2012-036, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.
    2. Badi H. Baltagi & Chihwa Kao & Fa Wang, 2017. "Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 853-882, October.
    3. Anders Bredahl Kock & David Preinerstorfer, 2017. "Power in High-dimensional testing Problems," Working Papers ECARES ECARES 2017-42, ULB -- Universite Libre de Bruxelles.
    4. Christine Cutting & Davy Paindaveine & Thomas Verdebout, 2015. "Testing Uniformity on High-Dimensional Spheres against Contiguous Rotationally Symmetric Alternatives," Working Papers ECARES ECARES 2015-04, ULB -- Universite Libre de Bruxelles.

  8. Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2011. "Asymptotic Power of Sphericity Tests for High-Dimensional Data," Working Papers ECARES ECARES 2011-018, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls," TSE Working Papers 13-419, Toulouse School of Economics (TSE).
    2. Wang, Cheng, 2014. "Asymptotic power of likelihood ratio tests for high dimensional data," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 184-189.
    3. Badi H. Baltagi & Chihwa Kao & Fa Wang, 2017. "Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 853-882, October.
    4. Anders Bredahl Kock & David Preinerstorfer, 2017. "Power in High-dimensional testing Problems," Working Papers ECARES ECARES 2017-42, ULB -- Universite Libre de Bruxelles.
    5. Muni S. Srivastava & Hirokazu Yanagihara & Tatsuya Kubokawa, 2014. "Tests for Covariance Matrices in High Dimension with Less Sample Size," CIRJE F-Series CIRJE-F-933, CIRJE, Faculty of Economics, University of Tokyo.
    6. Marc Hallin & Marcelo Moreira J. & Alexei Onatski, 2013. "Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model," Working Papers ECARES ECARES 2013-04, ULB -- Universite Libre de Bruxelles.
    7. Christine Cutting & Davy Paindaveine & Thomas Verdebout, 2015. "Testing Uniformity on High-Dimensional Spheres against Contiguous Rotationally Symmetric Alternatives," Working Papers ECARES ECARES 2015-04, ULB -- Universite Libre de Bruxelles.
    8. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Laurent Gobillon & François-Charles Wolff, 2015. "Évaluer l’effet des politiques publiques locales avec les contrôles synthétiques et les modèles à facteurs : Une application au marché du poisson français," PSE Working Papers halshs-01183455, HAL.
    10. Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2012. "Signal Detection in High Dmension: The Multispiked Case," Working Papers ECARES ECARES 2012-036, ULB -- Universite Libre de Bruxelles.
    11. Guo, Wenwen & Cui, Hengjian, 2019. "Projection tests for high-dimensional spiked covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 21-32.
    12. Peng, Bin & Shen, Xinyuan & Ye, Jinqi, 2019. "Testing for sphericity in a fixed effects panel data model with time-varying variances," Economics Letters, Elsevier, vol. 181(C), pages 85-89.
    13. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
    14. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    15. Jamshid Namdari & Debashis Paul & Lili Wang, 2021. "High-Dimensional Linear Models: A Random Matrix Perspective," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 645-695, August.
    16. Davy Paindaveine & Thomas Verdebout, 2013. "Universal Asymptotics for High-Dimensional Sign Tests," Working Papers ECARES ECARES 2013-40, ULB -- Universite Libre de Bruxelles.
    17. Laurent Gobillon & François-Charles Wolff, 2017. "The local effects of an innovation: Evidence from the French fish market," PSE Working Papers halshs-01431160, HAL.
    18. Wei Lan & Ronghua Luo & Chih-Ling Tsai & Hansheng Wang & Yunhong Yang, 2015. "Testing the Diagonality of a Large Covariance Matrix in a Regression Setting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 76-86, January.
    19. Li, Weiming & Qin, Yingli, 2014. "Hypothesis testing for high-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 108-119.

  9. ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
    2. Everett Grant & Julieta Yung, 2025. "Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 111-130, March.
    3. Francisco J. Ruge-Murcia & Alexander L. Wolman, 2022. "Relative Price Shocks and Inflation," Working Paper 22-07, Federal Reserve Bank of Richmond.

  10. Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.

    Cited by:

    1. Jurgen A. Doornik & Rocco Mosconi & Paolo Paruolo, 2017. "Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models," Econometrics, MDPI, vol. 5(4), pages 1-30, November.
    2. James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
    3. Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2018. "A multicointegration model of global climate change," University of Göttingen Working Papers in Economics 336, University of Goettingen, Department of Economics.

  11. A. Onatski & V. Karguine, 2005. "Curve Forecasting by Functional Autoregression," Computing in Economics and Finance 2005 59, Society for Computational Economics.

    Cited by:

    1. Benatia, David & Carrasco, Marine & Florens, Jean-Pierre, 2017. "Functional linear regression with functional response," Journal of Econometrics, Elsevier, vol. 201(2), pages 269-291.
    2. Sven Otto & Nazarii Salish, 2022. "Approximate Factor Models for Functional Time Series," Papers 2201.02532, arXiv.org, revised Feb 2025.
    3. Blanke, D. & Bosq, D., 2016. "Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 119-137.
    4. Philip Nadler & Alessio Sancetta, 2023. "Empirical Asset Pricing with Functional Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1258-1281.
    5. Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020. "A functional time series analysis of forward curves derived from commodity futures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 646-665.
    6. Clive G. Bowsher & Roland Meeks, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas.
    7. Ajroldi, Niccolò & Diquigiovanni, Jacopo & Fontana, Matteo & Vantini, Simone, 2023. "Conformal prediction bands for two-dimensional functional time series," Computational Statistics & Data Analysis, Elsevier, vol. 187(C).
    8. Gabrys Robertas & Hörmann Siegfried & Kokoszka Piotr, 2013. "Monitoring the Intraday Volatility Pattern," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 87-116, July.
    9. Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
    10. Gregory Rice & Han Lin Shang, 2017. "A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 591-609, July.
    11. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    12. Klepsch, J. & Klüppelberg, C., 2017. "An innovations algorithm for the prediction of functional linear processes," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 252-271.
    13. Mestre, Guillermo & Portela, José & Rice, Gregory & Muñoz San Roque, Antonio & Alonso, Estrella, 2021. "Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    14. Chen, Yichao & Pun, Chi Seng, 2019. "A bootstrap-based KPSS test for functional time series," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    15. Bosq, D., 2014. "Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 436-450.
    16. Atefeh Zamani & Hossein Haghbin & Maryam Hashemi & Rob J Hyndman, 2019. "Seasonal Functional Autoregressive Models," Monash Econometrics and Business Statistics Working Papers 16/19, Monash University, Department of Econometrics and Business Statistics.
    17. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
    18. Niccol`o Ajroldi & Jacopo Diquigiovanni & Matteo Fontana & Simone Vantini, 2022. "Conformal Prediction Bands for Two-Dimensional Functional Time Series," Papers 2207.13656, arXiv.org, revised Jul 2023.
    19. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
    20. Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    21. Torben G. Andersen & Yingwen Tan & Viktor Todorov & Zhiyuan Zhang, 2025. "Testing mean stationarity of intraday volatility curves," Quantitative Economics, Econometric Society, vol. 16(3), pages 1059-1091, July.
    22. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
    23. Clive G. Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series 2006fe11, Oxford Financial Research Centre.
    24. Álvarez-Liébana, Javier & Bosq, Denis & Ruiz-Medina, María D., 2016. "Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 12-22.
    25. Butler, Sunil & Kokoszka, Piotr & Miao, Hong & Shang, Han Lin, 2021. "Neural network prediction of crude oil futures using B-splines," Energy Economics, Elsevier, vol. 94(C).
    26. Boukhiar, Souad & Mourid, Tahar, 2022. "Resolvent estimators for functional autoregressive processes with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
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    1. Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.

  14. Onatski, Alexei & Williams, Noah, 2002. "Modeling model uncertainty," Working Paper Series 169, European Central Bank.

    Cited by:

    1. Marc P. Giannoni, 2007. "Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 179-213.
    2. Leitemo, Kai & Söderström, Ulf, 2005. "Robust monetary policy in a small open economy," Bank of Finland Research Discussion Papers 20/2005, Bank of Finland.
    3. Tetlow, Robert J. & von zur Muehlen, Peter, 2006. "Robustifying learnability," Working Paper Series 593, European Central Bank.
    4. Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia.
    5. Svetlana Makarova, 2014. "Risk and Uncertainty: Macroeconomic Perspective," UCL SSEES Economics and Business working paper series 129, UCL School of Slavonic and East European Studies (SSEES).
    6. William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers 10495, National Bureau of Economic Research, Inc.
    7. Alexei Onatski & Noah Williams, 2010. "Empirical and policy performance of a forward-looking monetary model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176.
    8. Umar Rafi & Abbas Mirakhor & Hossein Askari, 2016. "Radical uncertainty, non-predictability, antifragility and risk-sharing Islamic finance," PSL Quarterly Review, Economia civile, vol. 69(279), pages 337-372.
    9. Wieland, Volker & Küster, Keith, 2005. "Insurance Policies for Monetary Policy in the Euro Area," CEPR Discussion Papers 4956, C.E.P.R. Discussion Papers.
    10. Ullrich, Antje & Volk, Martin, 2009. "Application of the Soil and Water Assessment Tool (SWAT) to predict the impact of alternative management practices on water quality and quantity," Agricultural Water Management, Elsevier, vol. 96(8), pages 1207-1217, August.
    11. Thomas A. Lubik & Christian Matthes & Fabio Verona, 2019. "Assessing U.S. Aggregate Fluctuations Across Time and Frequencies," Working Paper 19-6, Federal Reserve Bank of Richmond.
    12. Kilponen, Juha & Leitemo, Kai, 2006. "Robustness in monetary policymaking: a case for the Friedman rule," Bank of Finland Research Discussion Papers 4/2006, Bank of Finland.
    13. Di Bartolomeo, Giovanni & Giuli, Francesco, 2011. "Fiscal and monetary interaction under monetary policy uncertainty," European Journal of Political Economy, Elsevier, vol. 27(2), pages 369-375, June.
    14. Kohei Hasui, 2021. "How robustness can change the desirability of speed limit policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(5), pages 553-570, November.
    15. William Ascher, 2021. "Coping with intelligence deficits in poverty-alleviation policies in low-income countries," Policy Sciences, Springer;Society of Policy Sciences, vol. 54(2), pages 345-370, June.
    16. Eleftherios SPYROMITROS & Li QIN, 2006. "Central bank transparency about model uncertainty and wage setters," Economics Bulletin, AccessEcon, vol. 5(18), pages 1-5.
    17. Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
    18. Kangami, Divine Ngenyeh, 2021. "Challenges of Forecasting the Long-Run Economic Consequences of Pandemics for Selected sub-Saharan Economies," African Journal of Economic Review, African Journal of Economic Review, vol. 9(3), June.
    19. Anastasios Xepapadeas & Catarina Roseta-Palma, 2013. "Instabilities and robust control in natural resource management," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(3), pages 161-180, December.
    20. Frederick van der Ploeg, 2007. "Prudent Monetary Policy and Cautious Prediction of the Output Gap," Economics Working Papers ECO2007/40, European University Institute.
    21. John C. Williams, 2005. "Robust estimation and monetary policy with unobserved structural change," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 53-81.
    22. Traficante, Guido, 2013. "Monetary policy, parameter uncertainty and welfare," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 73-80.
    23. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
    24. Mikhail I. Krastanov & Rossen Rozenov & Boyan K. Stefanov, 2023. "On a Constrained Infinite-Time Horizon Linear Quadratic Game," Dynamic Games and Applications, Springer, vol. 13(3), pages 843-858, September.
    25. Leitemo, Kai & Söderström, Ulf, 2004. "Robust monetary policy in the New-Keynesian framework," Bank of Finland Research Discussion Papers 31/2004, Bank of Finland.
    26. Altavilla, Carlo & Ciccarelli, Matteo, 2010. "Evaluating the effect of monetary policy on unemployment with alternative inflation forecasts," Economic Modelling, Elsevier, vol. 27(1), pages 237-253, January.
    27. Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim, 2006. "Managing uncertainty through robust-satisficing monetary policy," Working Paper 2006/10, Norges Bank.
    28. Paulo R. Mota & Abel L. C. Fernandes, 2019. "The Dynamic Adjustment Of Central Banks’ Target Interest Rate: The Case Of The Ecb," FEP Working Papers 613, Universidade do Porto, Faculdade de Economia do Porto.
    29. Giannis Vardas & Anastasios Xepapadeas, 2010. "Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 45(3), pages 379-404, March.
    30. Brock,W.A. & Durlauf,S.N., 2004. "Macroeconomics and model uncertainty," Working papers 20, Wisconsin Madison - Social Systems.
    31. Levin, Andrew T. & Williams, John C., 2003. "Robust monetary policy with competing reference models," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 945-975, July.
    32. Andrew Phiri, 2023. "Fisher’s hypothesis in time–frequency space: a premier using South Africa as a case study," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(5), pages 4255-4284, October.
    33. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
    34. Giordani, Paolo & Söderlind, Paul, 2002. "Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions," SSE/EFI Working Paper Series in Economics and Finance 499, Stockholm School of Economics, revised 15 May 2003.
    35. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
    36. Brock, William A. & Durlauf, Steven N. & Nason, James M. & Rondina, Giacomo, 2007. "Simple versus optimal rules as guides to policy," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1372-1396, July.
    37. Hasui, Kohei, 2020. "A Note On Robust Monetary Policy And Non-Zero Trend Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 24(6), pages 1574-1594, September.
    38. Giannis Vardas & Anastasios Xepapadeas, 2015. "Uncertainty aversion, robust control and asset holdings," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 477-491, March.
    39. Walsh, Carl E., 2004. "Implications of a Changing Economic Structure for the Strategy of Monetary Policy," Santa Cruz Center for International Economics, Working Paper Series qt84g1q1g6, Center for International Economics, UC Santa Cruz.
    40. Jean-Guillaume Sahuc, 2003. "Robust European monetary policy rules," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 889-894.
    41. Marco M. Sorge, 2012. "Robust Delegation with Uncertain Monetary Policy Preferences," EERI Research Paper Series EERI_RP_2012_05, Economics and Econometrics Research Institute (EERI), Brussels.
    42. Dück, Alexander & Verona, Fabio, 2023. "Robust frequency-based monetary policy rules," IMFS Working Paper Series 180, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    43. Brock,W.A. & Durlauf,S.N., 2004. "Local robustness analysis : theory and application," Working papers 22, Wisconsin Madison - Social Systems.
    44. Debby Lanser & Henk Kranendonk, 2008. "Investigating uncertainty in macroeconomic forecasts by stochastic simulation," CPB Discussion Paper 112, CPB Netherlands Bureau for Economic Policy Analysis.
    45. Axel A. Weber & Wolfgang Lemke & Andreas Worms, 2008. "How useful is the concept of the natural real rate of interest for monetary policy?," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 32(1), pages 49-63, January.
    46. MOONS, Cindy & GARRETSEN, Harry & VAN AARLE, Bas & FORNERO, Jorge, 2007. "Monetary policy in the new-Keynesian model: An application to the Euro-Area," Working Papers 2007014, University of Antwerp, Faculty of Business and Economics.
    47. Hasui Kohei, 2021. "Trend Growth and Robust Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 449-472, June.
    48. Traficante, Guido, 2012. "Uncertain potential output: implications for monetary policy in small open economy," Dynare Working Papers 22, CEPREMAP.
    49. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
    50. Mariusz Górajski & Zbigniew Kuchta, 2022. "Which hallmarks of optimal monetary policy rules matter in Poland? A stochastic dominance approach," Bank i Kredyt, Narodowy Bank Polski, vol. 53(2), pages 149-182.
    51. Juha Kilponen, 2004. "A positive theory of monetary policy and robust control," Macroeconomics 0404014, University Library of Munich, Germany.
    52. Mariusz Gorajski, 2016. "Robust monetary policy in a linear model of the polish economy: is the uncertainty in the model responsible for the interest rate smoothing effect?," Lodz Economics Working Papers 1/2016, University of Lodz, Faculty of Economics and Sociology.
    53. André P. Calmon & Thomas Vallée & João B. R. Do Val, 2009. "Monetary policy as a source of uncertainty," Working Papers hal-00422454, HAL.
    54. Brock, William A. & Durlauf, Steven N. & Rondina, Giacomo, 2013. "Design limits and dynamic policy analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2710-2728.
    55. Richard Dennis, 2008. "Model Uncertainty and Monetary Policy," NCER Working Paper Series 30, National Centre for Econometric Research.
    56. Lars E.O. Svensson, 2010. "Inflation Targeting," NBER Working Papers 16654, National Bureau of Economic Research, Inc.
    57. Kurozumi, Takushi, 2010. "Optimal Monetary Policy Under Parameter Uncertainty In A Simple Microfounded Model," Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 257-268, April.
    58. Górajski, Mariusz & Kuchta, Zbigniew & Leszczyńska-Paczesna, Agnieszka, 2023. "Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy," Economic Modelling, Elsevier, vol. 122(C).
    59. Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," NBER Working Papers 14092, National Bureau of Economic Research, Inc.
    60. Svensson, Lars E. O. & Williams, Noah, 2005. "Monetary policy with model uncertainty: distribution forecast targeting," Discussion Paper Series 1: Economic Studies 2005,35, Deutsche Bundesbank.
    61. Levine, Paul & McAdam, Peter & Pearlman, Joseph, 2012. "Probability models and robust policy rules," European Economic Review, Elsevier, vol. 56(2), pages 246-262.
    62. Ramón Adalid & Günter Coenen & Peter McAdam & Stefano Siviero, 2005. "The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
    63. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," NBER Working Papers 10025, National Bureau of Economic Research, Inc.
    64. Luo, Yulei & Nie, Jun & Young, Eric, 2014. "Model Uncertainty and Intertemporal Tax Smoothing," MPRA Paper 54268, University Library of Munich, Germany.
    65. Fabio Milani, 2004. "Monetary Policy with a Wider Information Set: a Bayesian Model Averaging Approach," Macroeconomics 0401004, University Library of Munich, Germany.
    66. Giovanni Di Bartolomeo & Carolina Serpieri, 2025. "Robust optimal monetary policies in behavioral New Keynesian DSGE models," Working Papers in Public Economics 261, Department of Economics and Law, Sapienza University of Rome.
    67. van der Ploeg, Frederick, 2004. "Prudent Monetary Policy: Applications of Cautious LQG Control and Prediction," CEPR Discussion Papers 4222, C.E.P.R. Discussion Papers.
    68. Ormerod, Paul, 2015. "The economics of radical uncertainty," Economics Discussion Papers 2015-40, Kiel Institute for the World Economy.
    69. Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
    70. Richhild Moessner, 2006. "Optimal discretionary policy in rational expectations models with regime switching," Bank of England working papers 299, Bank of England.
    71. Xiangrong Yu, 2013. "Measurement Error and Policy Evaluation in the Frequency Domain," Working Papers 172013, Hong Kong Institute for Monetary Research.
    72. Amber Fatima & Abdul Waheed, 2014. "Economic uncertainty and growth performance: a macroeconomic modeling analysis for Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1361-1387, May.
    73. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    74. William Brock & Anastasios Xepapadeas & Athanasios Yannacopoulos, 2014. "Optimal Control in Space and Time and the Management of Environmental Resources," DEOS Working Papers 1402, Athens University of Economics and Business.
    75. Brian Ironside & Robert J. Tetlow, 2006. "Real-time model uncertainty in the United States: the Fed from 1996-2003," Finance and Economics Discussion Series 2006-08, Board of Governors of the Federal Reserve System (U.S.).
    76. Bacchetta, Philippe & van Wincoop, Eric, 2013. "On the unstable relationship between exchange rates and macroeconomic fundamentals," Journal of International Economics, Elsevier, vol. 91(1), pages 18-26.
    77. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    78. Fatemeh Labafi Feriz & Saeed Samadi & khadijeh Nasrollahi & Rasul Bakhshi Dastjerdi, 2018. "Robust Discretionary Monetary Policy under Cost-Push Shock Uncertainty of Iran’s Economy," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(2), pages 503-526, Spring.
    79. Moessner, Richhild, 2005. "Optimal discretionary policy and uncertainty about inflation persistence," Working Paper Series 540, European Central Bank.
    80. Górajski, Mariusz & Kuchta, Zbigniew, 2023. "Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    81. Paul Ormerod & Rickard Nyman & David Tuckett, 2015. "Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis," Papers 1508.05357, arXiv.org.
    82. Philip Arestis & Alexander Mihailov, 2008. "Classifying Monetary Economics: Fields and Methods from Past to Future," Economics Discussion Papers em-dp2008-64, Department of Economics, University of Reading.
    83. Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim, 2008. "Robust-satisficing monetary policy under parameter uncertainty," Working Paper 2007/14, Norges Bank.
    84. Alan S. Blinder & Ricardo Reis, 2005. "Understanding the Greenspan Standard," Working Papers 88, Princeton University, Department of Economics, Center for Economic Policy Studies..
    85. Robert Tetlow & Peter von zur Muehlen, 2004. "Avoiding Nash Inflation: Bayesian and Robus Responses to Model Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 869-899, October.
    86. Daniel Altman, 2017. "An Alternative Approach to Statistical Inference," Working Papers 17-01, New York University, Leonard N. Stern School of Business, Department of Economics.
    87. Brock,W.A. & Durlauf,S.N. & West,K.D., 2004. "Model uncertainty and policy evaluation : some theory and empirics," Working papers 19, Wisconsin Madison - Social Systems.
    88. Giuseppe Diana & Moise Sidiropoulos, 2006. "Robust Control and Monetary Policy Delegation," Working Papers of BETA 2006-26, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    89. Juha Kilponen & Kai Leitemo, 2008. "Model Uncertainty and Delegation: A Case for Friedman's k‐Percent Money Growth Rule?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 547-556, March.
    90. Li Qin & Elefterios Spyromitros & Moïse Sidiropoulos, 2006. "Does Model Uncertainty Lead to Less Central Bank Transparency?," Working Papers of BETA 2006-22, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    91. Mariusz Górajski, 2018. "Robust Monetary Policy in a Model of the Polish Economy: Is the Uncertainty Responsible for the Interest Rate Smoothing Effect?," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 313-340, August.
    92. Cohen-Cole,E.B. & Durlauf,S.N. & Rondina,G., 2005. "Nonlinearities in growth : from evidence to policy," Working papers 9, Wisconsin Madison - Social Systems.
    93. Vitale, Paolo, 2018. "Optimal monetary policy for a pessimistic central bank," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 39-59.
    94. Hansen, Lars Peter & Sargent, Thomas J. & Turmuhambetova, Gauhar & Williams, Noah, 2006. "Robust control and model misspecification," Journal of Economic Theory, Elsevier, vol. 128(1), pages 45-90, May.
    95. van der Ploeg, Frederick, 2009. "Prudent monetary policy and prediction of the output gap," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 217-230, June.
    96. Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
    97. Michel Juillard & Florian Pelgrin, 2007. "Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy," Staff Working Papers 07-32, Bank of Canada.
    98. Dennis, Richard, 2010. "How robustness can lower the cost of discretion," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 653-667, September.
    99. Alexei Onatski & Noah Williams, 2004. "Empirical and policy performance of a forward-looking monetary model," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
    100. Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
    101. Marc Giannoni, 2006. "Robust Optimal Policy in a Forward-Looking Model with Parameter and Shock Uncertainty," NBER Working Papers 11942, National Bureau of Economic Research, Inc.
    102. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
    103. Enrique Moral-Benito, 2011. "Model averaging in economics," Working Papers 1123, Banco de España.
    104. Beatrice Pataracchia, 2008. "The Spectral Representation of Markov-Switching Arma Models," Department of Economics University of Siena 528, Department of Economics, University of Siena.
    105. Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
    106. Carlo Altavilla & Matteo Ciccarelli, 2008. "Inflation models, optimal monetary policy and uncertain unemployment dynamics: Evidence from the US and the euro area," Discussion Papers 8_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    107. Gino Cateau, 2006. "Guarding Against Large Policy Errors under Model Uncertainty," Staff Working Papers 06-13, Bank of Canada.
    108. Giannis Vardas & Anastasios Xepapadeas, 2007. "Uncertainty Aversion, Robust Control And Asset Holdings With A Stochastic Investment Opportunity Set," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(06), pages 985-1014.
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  15. Michael Kremer & Alexei Onatski & James Stock, 2001. "Searching for Prosperity," NBER Working Papers 8250, National Bureau of Economic Research, Inc.

    Cited by:

    1. Sharun W. Mukand & Dani Rodrik, 2005. "In Search of the Holy Grail: Policy Convergence, Experimentation, and Economic Performance," American Economic Review, American Economic Association, vol. 95(1), pages 374-383, March.
    2. Amparo Castello-Climent & Rafael Domenech, 2006. "Human Capital Inequality, Life Expectancy and Economic Growth," Working Papers 0604, International Economics Institute, University of Valencia.
    3. Gordon Anderson, Alessio Farcomeni, Maria Grazia Pittau and Roberto Zelli, 2019. "Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development Since 1990," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(1), pages 1-22, March.
    4. Jesús Peiró-Palomino & William Orlando Prieto-Bustos & Emili Tortosa-Ausina, 2023. "Regional income convergence in Colombia: population, space, and long-run dynamics," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 70(2), pages 559-601, April.
    5. Susanto Basu, 2014. "Productivity and the Welfare of Nations," 2014 Meeting Papers 787, Society for Economic Dynamics.
    6. Xavier Sala-i-Martin, 2002. "The Disturbing "Rise" of Global Income Inequality," NBER Working Papers 8904, National Bureau of Economic Research, Inc.
    7. Hildegunn Stokke & Jørn Rattsø, 2011. "Accumulation of education and regional income growth: Limited human capital effects in Norway," ERSA conference papers ersa11p460, European Regional Science Association.
    8. Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio & Serven, Luis, 2013. "Productivity and the Welfare of Nations," CAGE Online Working Paper Series 163, Competitive Advantage in the Global Economy (CAGE).
    9. Kraay, Aart & Raddatz, Claudio, 2007. "Poverty traps, aid, and growth," Journal of Development Economics, Elsevier, vol. 82(2), pages 315-347, March.
    10. Roberto Ezcurra & Carlos Gil & Pedro Pascual, 2005. "Regional welfare disparities: the case of the European Union," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1423-1437.
    11. Mahmoud A. El-Gamal & Deockhyun Ryu, 2013. "Nonstationarity and Stochastic Stability of Relative Income Clubs," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 59(4), pages 756-775, December.
    12. Fiaschi, Davide & Lavezzi, Andrea Mario, 2007. "Nonlinear economic growth: Some theory and cross-country evidence," Journal of Development Economics, Elsevier, vol. 84(1), pages 271-290, September.
    13. Davide Fiaschi & Andrea Mario Lavezzi, 2006. "Nonlinear Growth and the Productivity Slowdown," DEGIT Conference Papers c011_012, DEGIT, Dynamics, Economic Growth, and International Trade.
    14. Xavier Sala-i-Martin, 2006. "The World Distribution of Income: Falling Poverty and … Convergence, Period," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(2), pages 351-397.
    15. Hajo Holzmann & Sebastian Vollmer & Julian Weisbrod, 2007. "Perspectives on the World Income Distribution - Beyond Twin Peaks Towards Welfare Conclusions," Ibero America Institute for Econ. Research (IAI) Discussion Papers 158, Ibero-America Institute for Economic Research.
    16. Gordon Anderson, 2004. "Making inferences about the polarization, welfare and poverty of nations: a study of 101 countries 1970-1995," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 537-550.
    17. Paul Beaudry & Fabrice Collard, 2004. "Globalization, Returns to Accumulationa and the World Distribution of Output," NBER Working Papers 10565, National Bureau of Economic Research, Inc.
    18. Grosjean, Pauline & Ricka, Frantisek & Senik, Claudia, 2013. "Learning, political attitudes and crises: Lessons from transition countries," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 490-505.
    19. Durlauf,S.N. & Kourtellos,A. & Tan,C.M., 2005. "Empirics of growth and development," Working papers 16, Wisconsin Madison - Social Systems.
    20. Ms. Irina Dolinskaya & Ms. Irina Tytell, 2002. "Transition and Regional Inequality in Russia: Reorganization or Procrastination?," IMF Working Papers 2002/169, International Monetary Fund.
    21. Buera, Francisco & Primiceri, Giorgio & Monge-Naranjo, Alexander, 2010. "Learning the Wealth of Nations," CEPR Discussion Papers 8030, C.E.P.R. Discussion Papers.
    22. M. Herrerías, 2012. "Weighted convergence and regional growth in China: an alternative approach (1952–2008)," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 49(3), pages 685-718, December.
    23. Iván Arribas & Francisco Pérez & Emili Tortosa-Ausina, 2014. "The dynamics of international trade integration: 1967–2004," Empirical Economics, Springer, vol. 46(1), pages 19-41, February.
    24. Feyrer James D, 2008. "Convergence by Parts," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-35, July.
    25. Marcos Chamon & Michael Kremer, 2006. "Economic Transformation, Population Growth and the Long-Run World Income Distribution," NBER Working Papers 12038, National Bureau of Economic Research, Inc.
    26. Breinlich, Holger & Ottaviano, Gianmarco I P & Temple, Jonathan R, 2013. "Regional Growth and Regional Decline," Economics Discussion Papers 8977, University of Essex, Department of Economics.
    27. Mark Rogers, 2003. "A Survey of Economic Growth," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 112-135, March.
    28. Mr. James M. Boughton, 2005. "Does the World Need a Universal Financial Institution?," IMF Working Papers 2005/116, International Monetary Fund.
    29. Hajo Holzmann & Sebastian Vollmer & Julian Weisbrod, 2007. "Income Distribution Dynamics and Pro-Poor Growth in the World from 1970 to 2003," Ibero America Institute for Econ. Research (IAI) Discussion Papers 161, Ibero-America Institute for Economic Research.
    30. William Easterly, 2006. "Reliving the 1950s: the big push, poverty traps, and takeoffs in economic development," Journal of Economic Growth, Springer, vol. 11(4), pages 289-318, December.
    31. Chih Ming Tan, 2007. "Economic Growth Nonlinearities," Discussion Papers Series, Department of Economics, Tufts University 0701, Department of Economics, Tufts University.
    32. Shang-Jin Wei & Ms. Irina Tytell, 2004. "Does Financial Globalization Induce Better Macroeconomic Policies?," IMF Working Papers 2004/084, International Monetary Fund.
    33. Aldy, Joseph E., 2005. "Per Capita Carbon Dioxide Emissions: Convergence or Divergence?," Discussion Papers 10773, Resources for the Future.
    34. Keith Blackburn & Gonzalo F. Forgues-Puccio, 2011. "Foreign Aid – A Fillip for Development or a Fuel for Corruption?," Development Research Working Paper Series 09/2011, Institute for Advanced Development Studies.
    35. Jordan Rappaport, 2001. "A bottleneck capital model of development," Research Working Paper RWP 01-10, Federal Reserve Bank of Kansas City.
    36. Temple, Jonathan & Graham, Bryan S, 2001. "Rich Nations, Poor Nations: How Much can Multiple Equilibria Explain?," CEPR Discussion Papers 3046, C.E.P.R. Discussion Papers.
    37. Imam, Patrick A. & Temple, Jonathan R.W., 2024. "Political institutions and output collapses," European Journal of Political Economy, Elsevier, vol. 85(C).
    38. Holger Strulik & Sebastian Vollmer, 2015. "The fertility transition around the world," Journal of Population Economics, Springer;European Society for Population Economics, vol. 28(1), pages 31-44, January.
    39. Xavier Sala-i-Martin, 2002. "15 Years of New Growth Economics: What Have We Learnt?," Working Papers Central Bank of Chile 172, Central Bank of Chile.
    40. Arribas, Iván & Pérez, Francisco & Tortosa-Ausina, Emili, 2008. "On the Dynamics of Globalization," MPRA Paper 16007, University Library of Munich, Germany, revised 2008.
    41. Im, Fernando Gabriel & Rosenblatt, David, 2013. "Middle-income traps : a conceptual and empirical survey," Policy Research Working Paper Series 6594, The World Bank.
    42. Roberto Ezcurra & Pedro Pascual & Manuel Rapún, 2005. "Territorial Mobility: A Measuring Proposal," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0504, Departamento de Economía - Universidad Pública de Navarra.
    43. J�rn Ratts� & Hildegunn E. Stokke, 2014. "Population Divergence and Income Convergence: Regional Distribution Dynamics for Norway," Regional Studies, Taylor & Francis Journals, vol. 48(11), pages 1884-1895, November.
    44. José V. Gallegos & Gaston Yalonetzky, 2014. "Robust ``pro-poorest'' poverty reduction with counting measures: the non-anonymous case," Working Papers 351, ECINEQ, Society for the Study of Economic Inequality.
    45. Xavier Sala-i-Martin, 2002. "The world distribution of income (estimated from individual country distributions)," Economics Working Papers 615, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2002.
    46. Jesús Peiró-Palomino & William Orlando Prieto-Bustos & Emili Tortosa-Ausina, 2020. "Weighted convergence in Colombian departments: The role of geography and demography," Working Papers 2020/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    47. Färnstrand Damsgaard, Erika, 2010. "The World Distribution of Productivity: Country TFP Choice in a Nelson-Phelps Economy," CEPR Discussion Papers 8022, C.E.P.R. Discussion Papers.
    48. Park, Seonyoung & Shin, Donggyun, 2020. "Recent Changes in the Nature of Distribution Dynamics of US County Incomes," Working Paper Series 20926, Victoria University of Wellington, School of Economics and Finance.
    49. Jørn Rattsø & Hildegunn Stokke, 2014. "Regional Convergence of Income and Education: Investigation of Distribution Dynamics," Urban Studies, Urban Studies Journal Limited, vol. 51(8), pages 1672-1685, June.
    50. Chumacero Rómulo A., 2006. "On the Power of Absolute Convergence Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-25, May.
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    52. Paul Masson & Francisco J. Ruge‐Murcia, 2005. "Explaining the Transition between Exchange Rate Regimes," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 261-278, June.
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    55. Verner, Dorte & Tebaldi, Edinaldo, 2004. "Convergence, dynamics, and geography of economic growth : The case of municipalities in Rio Grande do Norte, Brazil," Policy Research Working Paper Series 3302, The World Bank.
    56. Blackburn, Keith & Forgues-Puccio, Gonzalo F., 2007. "Distribution and development in a model of misgovernance," European Economic Review, Elsevier, vol. 51(6), pages 1534-1563, August.
    57. Peter J. Klenow & Andres Rodriguez-Clare, 2004. "Externalities and Growth," NBER Working Papers 11009, National Bureau of Economic Research, Inc.
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    59. Marcel Fafchamps & Klaus Desmet & Universidad Carlos III de Madrid and CEPR, 2003. "Employment Concentration across US Counties," Economics Series Working Papers 180, University of Oxford, Department of Economics.
    60. Jesús Peiró-Palomino & Emili Tortosa-Ausina, 2014. "On the sources of European regional convergence: Does social capital have an economic payoff?," Working Papers 2014/16, Economics Department, Universitat Jaume I, Castellón (Spain).
    61. Han, Xuehui & Wei, Shang-Jin, 2017. "Re-examining the middle-income trap hypothesis (MITH): What to reject and what to revive?," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 41-61.
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    63. Strulik, Holger & Vollmer, Sebastian, 2010. "The Fertility Transition Around the World - 1950-2005," Hannover Economic Papers (HEP) dp-443, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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    65. Aldy, Joseph, 2006. "Divergence in State-Level Per Capita Carbon Dioxide Emissions," RFF Working Paper Series dp-06-07, Resources for the Future.
    66. Roberto Ezcurra & Carlos Gil & Pedro Pascual & Manuel Rapun, 2005. "Inequality, Polarisation and Regional Mobility in the European Union," Urban Studies, Urban Studies Journal Limited, vol. 42(7), pages 1057-1076, June.
    67. Uwe Cantner & Bernd Ebersberger & Horst Hanusch & Jens J. Krüger & Andreas Pyka, 2004. "The Twin Peaks in National Income. Parametric and Nonparametric Estimates," Revue économique, Presses de Sciences-Po, vol. 55(6), pages 1127-1144.
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  16. Alexei Onatski, 2000. "Minimax Analysis of Monetary Policy Under Model Uncertainty," Econometric Society World Congress 2000 Contributed Papers 1818, Econometric Society.

    Cited by:

    1. Glenn D. Rudebusch, 2002. "Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty," Economic Journal, Royal Economic Society, vol. 112(479), pages 402-432, April.
    2. Castelnuovo, Efrem & Paolo Surico, 2003. "Why are Federal Funds Rates so Smooth?," Royal Economic Society Annual Conference 2003 39, Royal Economic Society.
    3. Stefano Eusepi, 2004. "Does Central Bank Transparency Matter for Economic Stability," Computing in Economics and Finance 2004 176, Society for Computational Economics.
    4. Adam, Klaus, 2003. "On the Relation between Robust and Bayesian Decision Making," CFS Working Paper Series 2003/02, Center for Financial Studies (CFS).

  17. Alexei Onatski & James H. Stock, 2000. "Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy," NBER Working Papers 7490, National Bureau of Economic Research, Inc.

    Cited by:

    1. Marc P. Giannoni, 2007. "Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 179-213.
    2. Lars E.O. Svensson, 2002. "What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules," Working Papers 118, Princeton University, Department of Economics, Center for Economic Policy Studies..
    3. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    4. Tetlow, Robert J. & von zur Muehlen, Peter, 2006. "Robustifying learnability," Working Paper Series 593, European Central Bank.
    5. Shin-ichi Fukuda, 2012. "Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity," CIRJE F-Series CIRJE-F-863, CIRJE, Faculty of Economics, University of Tokyo.
    6. Li Qin & Moïse SIDIROPOULOS & Eleftherios Spyromitros, 2009. "Robust Monetary Policy under Model Uncertainty and Inflation Persistence," Working Papers of BETA 2009-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    7. Adam Cagliarini & Alexandra Heath, 2000. "Monetary Policy-making in the Presence of Knightian Uncertainty," RBA Research Discussion Papers rdp2000-10, Reserve Bank of Australia.
    8. Gino Cateau, 2005. "Monetary Policy under Model and Data-Parameter Uncertainty," Staff Working Papers 05-6, Bank of Canada.
    9. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
    10. William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers 10495, National Bureau of Economic Research, Inc.
    11. Kunting Chen & Changbiao Zhong, 2011. "The effect mechanism of credit constraint on cycle's formation," China Finance Review International, Emerald Group Publishing Limited, vol. 1(4), pages 408-424, September.
    12. Wieland, Volker & Küster, Keith, 2005. "Insurance Policies for Monetary Policy in the Euro Area," CEPR Discussion Papers 4956, C.E.P.R. Discussion Papers.
    13. Felipe Morandé & Mauricio Tejada, 2009. "Sources of Uncertainty in Conducting Monetary Policy in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 12, pages 451-509, Central Bank of Chile.
    14. Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011. "Macroeconomic Regimes," 2011 Meeting Papers 817, Society for Economic Dynamics.
    15. Ippei Fujiwara & Naoko Hara & Naohisa Hirakata & Takeshi Kimura & Shinichiro Watanabe, 2007. "Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policymaking under Uncertainty," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 25(2), pages 89-128, November.
    16. Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty: Evidence from the United States and the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1265-1300, October.
    17. Castelnuovo, Efrem, 2008. "Regime shifts and the stability of backward-looking Phillips curves in open economies," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 40-53, February.
    18. Arnulfo Rodriguez & Pedro N. Rodriguez, 2006. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Computing in Economics and Finance 2006 30, Society for Computational Economics.
    19. Stephen G. Cecchetti & Stefan Krause, 2006. "Inflation Targeting versus Price-Path Targeting: Looking For Improvements," Working Papers Central Bank of Chile 399, Central Bank of Chile.
    20. Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
    21. Frederick van der Ploeg, 2007. "Prudent Monetary Policy and Cautious Prediction of the Output Gap," Economics Working Papers ECO2007/40, European University Institute.
    22. Gadi Barlevy, 2009. "Policymaking under uncertainty: Gradualism and robustness," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 33(Q II), pages 38-55.
    23. Kindy R. Sjahrir, 2018. "Formulating Regional Competitiveness Fiscal Policy based upon Leverage Factors for Indonesian Data," Working Papers in Economics and Development Studies (WoPEDS) 201804, Department of Economics, Padjadjaran University, revised Dec 2018.
    24. Andrew Levin & Volker Wieland & John C. Williams, 2003. "The Performance of Forecast-Based Monetary Policy Rules Under Model Uncertainty," American Economic Review, American Economic Association, vol. 93(3), pages 622-645, June.
    25. Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007. "A time-varying "natural" rate of interest for the euro area," European Economic Review, Elsevier, vol. 51(7), pages 1768-1784, October.
    26. Peter Tillmann, 2009. "Robust Monetary Policy with the Cost Channel," Economica, London School of Economics and Political Science, vol. 76(303), pages 486-504, July.
    27. McAdam, Peter & Levine, Paul & Pearlman, Joseph G., 2006. "Inflation forecast-based-rules and indeterminacy: a puzzle and a resolution," Working Paper Series 643, European Central Bank.
    28. Traficante, Guido, 2013. "Monetary policy, parameter uncertainty and welfare," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 73-80.
    29. William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers 2006-035, Federal Reserve Bank of St. Louis.
    30. David Kendrick & Hans Amman, 2006. "A Classification System for Economic Stochastic Control Models," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 453-481, June.
    31. Cornel OROS & Blandine ZIMMER, 2019. "Myopic governments and conservative central banks: are they compatible?," Working Papers of LaRGE Research Center 2019-06, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    32. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
    33. Meixing Dai, 2020. "La réponse de la BCE face ? la pandémie de Covid-19," Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 42(1), pages 5-14, July.
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    35. Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
    36. Peter Tillmann, 2009. "Optimal Monetary Policy with an Uncertain Cost Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 885-906, August.
    37. Felipe Morandé Lavín & Mauricio Tejada, 2008. "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers wp285, University of Chile, Department of Economics.
    38. Kaiwen Hou, 2022. "Inference for Model Misspecification in Interest Rate Term Structure using Functional Principal Component Analysis," Papers 2212.10790, arXiv.org.
    39. Brian P. Sack & Volker W. Wieland, 1999. "Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence," Finance and Economics Discussion Series 1999-39, Board of Governors of the Federal Reserve System (U.S.).
    40. Paulo R. Mota & Abel L. C. Fernandes, 2019. "The Dynamic Adjustment Of Central Banks’ Target Interest Rate: The Case Of The Ecb," FEP Working Papers 613, Universidade do Porto, Faculdade de Economia do Porto.
    41. Rodríguez Arnulfo & González Fidel & González García Jesús R., 2007. "Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority," Working Papers 2007-05, Banco de México.
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    45. Levin, Andrew T. & Williams, John C., 2003. "Robust monetary policy with competing reference models," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 945-975, July.
    46. Dai, Meixing & Spyromitros, Eleftherios, 2012. "Inflation contract, central bank transparency and model uncertainty," Economic Modelling, Elsevier, vol. 29(6), pages 2371-2381.
    47. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
    48. Arabinda Basistha & Richard Startz, 2005. "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Computing in Economics and Finance 2005 46, Society for Computational Economics.
    49. Camilla Lupiani, 2024. "Taylor Rule and Shadow Rates: theory and empirical analysis," BAFFI CAREFIN Working Papers 24218, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    50. Brock, William A. & Durlauf, Steven N. & Nason, James M. & Rondina, Giacomo, 2007. "Simple versus optimal rules as guides to policy," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1372-1396, July.
    51. Eric T. Swanson, 2000. "On signal extraction and non-certainty-equivalence in optimal monetary policy rules," Proceedings, Federal Reserve Bank of San Francisco.
    52. Chahrour, Ryan & Svec, Justin, 2014. "Optimal capital taxation and consumer uncertainty," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 178-198.
    53. Walsh, Carl E., 2004. "Implications of a Changing Economic Structure for the Strategy of Monetary Policy," Santa Cruz Center for International Economics, Working Paper Series qt84g1q1g6, Center for International Economics, UC Santa Cruz.
    54. Zampolli, Fabrizio, 2006. "Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1527-1567.
    55. Rudebusch, Glenn D, 2005. "Assessing the Lucas Critique in Monetary Policy Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 245-272, April.
    56. Crowley, Patrick M. & Hudgins, David, 2015. "Fiscal policy tracking design in the time–frequency domain using wavelet analysis," Economic Modelling, Elsevier, vol. 51(C), pages 502-514.
    57. Meixing Dai & Eleftherios Spyromitros, 2009. "Accountability and Transparency about Central Bank Preferences for Model Robustness," Working Papers of BETA 2009-18, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    58. Castelnuovo, Efrem & Paolo Surico, 2003. "Why are Federal Funds Rates so Smooth?," Royal Economic Society Annual Conference 2003 39, Royal Economic Society.
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    60. Carlo A. Favero, "undated". "Parameters´ Instability, Model Uncertainty and Optimal Monetary Policy," Working Papers 196, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    61. Francesco Giuli, 2007. "Robust control in a Sticky information economy," Working Papers in Public Economics 98, Department of Economics and Law, Sapienza University of Rome.
    62. Adriana Grasso & Guido Traficante, 2021. "Optimal robust monetary policy with parameters and output gap uncertainty," Temi di discussione (Economic working papers) 1339, Bank of Italy, Economic Research and International Relations Area.
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    64. Marco Paolo Tucci, 2019. "The usual robust control framework in discrete time: Some interesting results," Department of Economics University of Siena 815, Department of Economics, University of Siena.
    65. Martin Ellison & Thomas J. Sargent, 2009. "A defence of the FOMC," Economics Series Working Papers 457, University of Oxford, Department of Economics.
    66. Efrem Castelnuovo, 2002. "Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model," Macroeconomics 0211006, University Library of Munich, Germany.
    67. Coenen, Günter & Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka & Smets, Frank & Warne, Anders & Wouters, Raf, 2025. "Inflation and monetary policy in medium-sized New Keynesian DSGE models," Working Paper Series 3137, European Central Bank.
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    69. Gonzalez F. & Rodriguez A. & Gonzalez-Garcia J.R., 2005. "Uncertainty about the Persistence of Periods with Large Price Shocks and the Optimal Reaction of the Monetary Authority," Computing in Economics and Finance 2005 402, Society for Computational Economics.
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    75. Richard Dennis, 2009. "Model uncertainty and monetary policy," CAMA Working Papers 2009-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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    77. Amélie Barbier-Gauchard & Meixing Dai & Claire Mainguy & Jamel Saadaoui & Moïse Sidiropoulos & Isabelle Terraz & Jamel Trabelsi, 2021. "Towards a more resilient European Union after the COVID-19 crisis," Post-Print hal-03196689, HAL.
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    119. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
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    121. Daniel Kienzler & Kai D. Schmid, 2014. "Hysteresis in Potential Output and Monetary Policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(4), pages 371-396, September.
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    123. Kriwoluzky, Alexander & Stoltenberg, Christian, 2007. "Optimal policy under model uncertainty: A structural-bayesian estimation approach," SFB 649 Discussion Papers 2007-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    124. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 0402, University of Crete, Department of Economics.
    125. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    126. Régis Barnichon & Geert Mesters, 2022. "A Sufficient Statistics Approach for Macro Policy Evaluation," Working Paper Series 2022, Federal Reserve Bank of San Francisco.
    127. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
    128. Fatemeh Labafi Feriz & Saeed Samadi & khadijeh Nasrollahi & Rasul Bakhshi Dastjerdi, 2018. "Robust Discretionary Monetary Policy under Cost-Push Shock Uncertainty of Iran’s Economy," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(2), pages 503-526, Spring.
    129. Roberto M. Billi, 2007. "Optimal inflation for the U.S," Research Working Paper RWP 07-03, Federal Reserve Bank of Kansas City.
    130. Górajski, Mariusz & Kuchta, Zbigniew, 2023. "Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    131. Oros, Cornel & Zimmer, Blandine, 2020. "Budget uncertainty in a monetary union," European Journal of Political Economy, Elsevier, vol. 63(C).
    132. Robert Tetlow & Peter von zur Muehlen, 2004. "Avoiding Nash Inflation: Bayesian and Robus Responses to Model Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 869-899, October.
    133. Brock,W.A. & Durlauf,S.N. & West,K.D., 2004. "Model uncertainty and policy evaluation : some theory and empirics," Working papers 19, Wisconsin Madison - Social Systems.
    134. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    135. Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena 569, Department of Economics, University of Siena.
    136. André Marine Charlotte & Medina Espidio Sebastián, 2022. "Optimal Robust Monetary Policy in a Small Open Economy," Working Papers 2022-17, Banco de México.
    137. Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area," CESifo Working Paper Series 2575, CESifo.
    138. Agénor, Pierre-Richard & Flamini, Alessandro, 2022. "Institutional mandates for macroeconomic and financial stability," Journal of Financial Stability, Elsevier, vol. 62(C).
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    140. Leitemo, Kai & Söderström, Ulf, 2008. "Robust monetary policy in a small open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3218-3252, October.
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    143. David Hudgins & Patrick M. Crowley, 2019. "Stress-Testing U.S. Macroeconomic Policy: A Computational Approach Using Stochastic and Robust Designs in a Wavelet-Based Optimal Control Framework," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1509-1546, April.
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Articles

  1. Alexei Onatski & Chen Wang, 2021. "Spurious Factor Analysis," Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
    See citations under working paper version above.
  2. Onatski, Alexei & Wang, Chen, 2019. "Extreme canonical correlations and high-dimensional cointegration analysis," Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
    See citations under working paper version above.
  3. Alexei Onatski & Chen Wang, 2018. "Alternative Asymptotics for Cointegration Tests in Large VARs," Econometrica, Econometric Society, vol. 86(4), pages 1465-1478, July.
    See citations under working paper version above.
  4. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.

    Cited by:

    1. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
    2. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
    3. Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
    4. Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
    5. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    6. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
    7. Andrés Sagner, 2020. "Measuring Systemic Risk: A Quantile Factor Analysis," Working Papers Central Bank of Chile 874, Central Bank of Chile.
    8. Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
    9. Sampi Bravo,James Robert Ezequiel & Jooste,Charl, 2020. "Nowcasting Economic Activity in Times of COVID-19 : An Approximation from the Google Community Mobility Report," Policy Research Working Paper Series 9247, The World Bank.
    10. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
    11. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
    12. Freyaldenhoven, Simon, 2022. "Factor models with local factors — Determining the number of relevant factors," Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
    13. James Sampi, 2016. "High Dimensional Factor Models: An Empirical Bayes Approach," Working Papers 75, Peruvian Economic Association.
    14. Damir Filipovic & Paul Schneider, 2024. "Fundamental properties of linear factor models," Papers 2409.02521, arXiv.org, revised Feb 2025.
    15. Zhang, Yuteng & Hui, Yongchang & Song, Junrong & Zheng, Shurong, 2025. "Multilevel matrix factor model," Journal of Econometrics, Elsevier, vol. 251(C).
    16. Marine Carrasco & Barbara Rossi, 2016. "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
    17. Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.
    18. Norman R. Swanson, 2016. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 348-353, July.
    19. Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
    20. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.

  5. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
    See citations under working paper version above.
  6. Henry, Marc & Onatski, Alexei, 2012. "Set coverage and robust policy," Economics Letters, Elsevier, vol. 115(2), pages 256-257.
    See citations under working paper version above.
  7. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.
    See citations under working paper version above.
  8. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.

    Cited by:

    1. Tom Boot & Bart Keijsers, 2025. "Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections," Papers 2506.09575, arXiv.org.
    2. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
    3. Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls," TSE Working Papers 13-419, Toulouse School of Economics (TSE).
    4. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
    5. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
    6. Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
    7. Jin, Sainan & Miao, Ke & Su, Liangjun, 2021. "On factor models with random missing: EM estimation, inference, and cross validation," Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
    8. Raffaella Giacomini & Jason Lu & Katja Smetanina, 2024. "Perceived shocks and impulse responses," IFS Working Papers WCWP21/24, Institute for Fiscal Studies.
    9. Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
    10. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Jan 2026.
    11. Jushan Bai & Serena Ng, 2020. "Simpler Proofs for Approximate Factor Models of Large Dimensions," Papers 2008.00254, arXiv.org.
    12. Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    13. Fan, Jianqing & Wang, Weichen & Zhong, Yiqiao, 2019. "Robust covariance estimation for approximate factor models," Journal of Econometrics, Elsevier, vol. 208(1), pages 5-22.
    14. Nathan Bedock & Dalibor Stevanović, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 541-570, May.
    15. Hsiao, Cheng, 2018. "Panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 645-673.
    16. Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
    17. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    18. Otter, Pieter W. & Jacobs, Jan P.A.M. & Reijer, Ard H.J. de, 2014. "A criterion for the number of factors in a data-rich environment," Research Report 14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    19. Alexander Chudik & M. Hashem Pesaran, 2013. "Large panel data models with cross-sectional dependence: a survey," Globalization Institute Working Papers 153, Federal Reserve Bank of Dallas.
    20. Anna Bykhovskaya & Vadim Gorin & Sasha Sodin, 2025. "How weak are weak factors? Uniform inference for signal strength in signal plus noise models," Papers 2507.18554, arXiv.org, revised Feb 2026.
    21. Lingwei Kong, 2023. "Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models," Papers 2307.14499, arXiv.org.
    22. Sampi Bravo,James Robert Ezequiel & Jooste,Charl, 2020. "Nowcasting Economic Activity in Times of COVID-19 : An Approximation from the Google Community Mobility Report," Policy Research Working Paper Series 9247, The World Bank.
    23. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
    24. Ruiz Ortega, Esther & Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de Estadística.
    25. Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
    26. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    27. Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.
    28. Badi H. Baltagi & Chihwa Kao & Fa Wang, 2017. "Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 853-882, October.
    29. Hou, Lei & Li, Kunpeng & Li, Qi & Ouyang, Min, 2021. "Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks," Journal of Econometrics, Elsevier, vol. 221(2), pages 483-509.
    30. Zhongyuan Lyu & Ming Yuan, 2025. "Large-dimensional Factor Analysis with Weighted PCA," Papers 2508.15675, arXiv.org.
    31. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    32. Maurizio Daniele & Julie Schnaitmann, 2019. "A Regularized Factor-augmented Vector Autoregressive Model," Papers 1912.06049, arXiv.org.
    33. Li, Kunpeng & Cui, Guowei & Lu, Lina, 2020. "Efficient estimation of heterogeneous coefficients in panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 216(2), pages 327-353.
    34. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
    35. Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson, 2021. "Performance of Empirical Risk Minimization for Linear Regression with Dependent Data," Papers 2104.12127, arXiv.org, revised May 2023.
    36. Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang, 2019. "Estimation of Cross-Sectional Dependence in Large Panels," Papers 1904.06843, arXiv.org.
    37. Kleibergen, Frank & Zhan, Zhaoguo, 2015. "Unexplained factors and their effects on second pass R-squared’s," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
    38. Freyaldenhoven, Simon, 2022. "Factor models with local factors — Determining the number of relevant factors," Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
    39. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    40. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
    41. Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
    42. Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
    43. James Sampi, 2016. "High Dimensional Factor Models: An Empirical Bayes Approach," Working Papers 75, Peruvian Economic Association.
    44. Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson & Yaping Wang, 2024. "Performance of Empirical Risk Minimization For Principal Component Regression," Papers 2409.03606, arXiv.org, revised Sep 2024.
    45. Yinchu Zhu, 2019. "How well can we learn large factor models without assuming strong factors?," Papers 1910.10382, arXiv.org, revised Nov 2019.
    46. Farnè, Matteo & Montanari, Angela, 2024. "Large factor model estimation by nuclear norm plus ℓ1 norm penalization," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
    47. Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
    48. António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
    49. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    50. Alj, Abdelkamel & Azrak, Rajae & Mélard, Guy, 2014. "On conditions in central limit theorems for martingale difference arrays," Economics Letters, Elsevier, vol. 123(3), pages 305-307.
    51. Jungjun Choi & Hyukjun Kwon & Yuan Liao, 2023. "Inference for Low-rank Models without Estimating the Rank," Papers 2311.16440, arXiv.org, revised Oct 2024.
    52. Ballarin, Giovanni & Dellaportas, Petros & Grigoryeva, Lyudmila & Hirt, Marcel & van Huellen, Sophie & Ortega, Juan-Pablo, 2024. "Reservoir computing for macroeconomic forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1206-1237.
    53. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
    54. Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014. "Selection of the number of factors in presence of structural instability: a Monte Carlo study," CIRANO Working Papers 2014s-44, CIRANO.
    55. Yuefeng Han & Rong Chen & Cun-Hui Zhang, 2020. "Rank Determination in Tensor Factor Model," Papers 2011.07131, arXiv.org, revised May 2022.
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    Cited by:

    1. Wieland, Volker & Taylor, John B., 2010. "Surprising comparative properties of monetary models: Results from a new model database," Working Paper Series 1261, European Central Bank.
    2. Linzert, Tobias & Christoffel, Kai & Kuester, Keith, 2009. "The role of labor markets for euro area monetary policy," Working Paper Series 1035, European Central Bank.
    3. Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2014. "Forecast combinations in a DSGE-VAR lab," Economics Series 309, Institute for Advanced Studies.
    4. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2019. "Kinks and Gains from Credit Cycles," CEPR Discussion Papers 13795, C.E.P.R. Discussion Papers.
    5. Magda Kandil, 2010. "Demand shocks and the cyclical behavior of the real wage: Some international evidence," Journal of Applied Economics, Universidad del CEMA, vol. 13, pages 135-158, May.
    6. Den Haan, Wouter & Drechsel, Thomas, 2018. "Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models," CEPR Discussion Papers 13145, C.E.P.R. Discussion Papers.
    7. Givens, Gregory E., 2016. "On the gains from monetary policy commitment under deep habits," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 19-36.
    8. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
    9. Eric Jondeau & Jean-Guillaume Sahuc, 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
    10. IIBOSHI Hirokuni, 2012. "Measuring the Effects of Monetary Policy: A DSGE-DFM Approach," ESRI Discussion paper series 292, Economic and Social Research Institute (ESRI).
    11. Marcin Kolasa, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," NBP Working Papers 49, Narodowy Bank Polski.
    12. Daichi Shirai, 2014. "A note on hump-shaped output in the RBC model," CIGS Working Paper Series 14-009E, The Canon Institute for Global Studies.
    13. Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Namba, Ryoichi & Nishiyama, Shin-Ichi, 2015. "Estimating a DSGE model for Japan in a data-rich environment," Journal of the Japanese and International Economies, Elsevier, vol. 36(C), pages 25-55.
    14. Carla Soares, 2008. "Impact on Welfare of Country Heterogeneity in a Currency Union," Working Papers w200814, Banco de Portugal, Economics and Research Department.
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    16. Michel Juillard & Herve Le Bihan & Stephen Millard, 2013. "Non-uniform wage-staggering: European evidence and monetary policy implications," Bank of England working papers 477, Bank of England.
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    18. Minford, Patrick & Ou, Zhirong & Wickens, Michael, 2012. "Revisiting the Great Moderation: policy or luck?," Cardiff Economics Working Papers E2012/9, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2014.
    19. Gregory E. Givens, 2012. "Estimating Central Bank Preferences under Commitment and Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1033-1061, September.
    20. Ben Ali, Samir, 2010. "A New Keynesian Phillips curve for Tunisia : Estimation and analysis of sensitivity," MPRA Paper 29624, University Library of Munich, Germany.

  11. Alexei Onatski, 2009. "Testing Hypotheses About the Number of Factors in Large Factor Models," Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, September.

    Cited by:

    1. Mario Forni & Luca Sala & Luca Gambetti, 2015. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
    3. Kong, Xin-Bing & Liu, Zhi & Zhou, Wang, 2019. "A rank test for the number of factors with high-frequency data," Journal of Econometrics, Elsevier, vol. 211(2), pages 439-460.
    4. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," CESifo Working Paper Series 3722, CESifo.
    5. Molero-González, L. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & García-Medina, A., 2023. "Market Beta is not dead: An approach from Random Matrix Theory," Finance Research Letters, Elsevier, vol. 55(PA).
    6. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    7. Brian D. O. Anderson & Manfred Deistler & Marco Lippi, 2022. "Linear System Challenges of Dynamic Factor Models," Econometrics, MDPI, vol. 10(4), pages 1-26, December.
    8. Liangjun Su & Sainan Jin & Yonghui Zhang, 2014. "Specification Test for Panel Data Models with Interactive Fixed Effects," Working Papers 08-2014, Singapore Management University, School of Economics.
    9. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
    10. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    11. Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
    12. Kim, Hyun Hak & Swanson, Norman R., 2018. "Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods," International Journal of Forecasting, Elsevier, vol. 34(2), pages 339-354.
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    175. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
    176. Mario Forni & Luca Gambetti & Antonio Granese & Luca Sala & Stefano Soccorsi, 2025. "An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain," American Economic Journal: Macroeconomics, American Economic Association, vol. 17(3), pages 311-341, July.
    177. He, Yong & Li, Lingxiao & Liu, Dong & Zhou, Wen-Xin, 2025. "Huber Principal Component Analysis for large-dimensional factor models," Journal of Econometrics, Elsevier, vol. 249(PB).
    178. Molero González, Laura & Cerqueti, Roy & Mattera, Raffaele & Sánchez Granero, Miguel Ángel & Trinidad Segovia, Juan Evangelista, 2025. "Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 665(C).
    179. Nan‐Jung Hsu & Lai Heng Sim & Ruey S. Tsay, 2023. "Testing for symmetric correlation matrices with applications to factor models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 622-643, September.
    180. Geert Mesters & Christian Brownlees, 2017. "Detecting Granular Time Series in Large Panels," Working Papers 991, Barcelona School of Economics.
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    182. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
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    188. Wang, Qinwen & Silverstein, Jack W. & Yao, Jian-feng, 2014. "A note on the CLT of the LSS for sample covariance matrix from a spiked population model," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 194-207.
    189. Li, Xiao & Qiao, Yuanbo & Shi, Lei, 2019. "Has China's war on pollution slowed the growth of its manufacturing and by how much? Evidence from the Clean Air Action," China Economic Review, Elsevier, vol. 53(C), pages 271-289.
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  12. Kargin, V. & Onatski, A., 2008. "Curve forecasting by functional autoregression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
    See citations under working paper version above.
  13. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.

    Cited by:

    1. Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," Working Papers CEB 15-036, ULB -- Universite Libre de Bruxelles.
    2. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    3. Majid M. Al-Sadoon, 2016. "The Linear Systems Approach to Linear Rational Expectations Models," Working Papers 875, Barcelona School of Economics.
    4. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
    5. Peter A. Zadrozny, 2022. "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series 10078, CESifo.
    6. Auclert, Adrien & Bardoczy, Bence & Rognlie, Matthew & Straub, Ludwig, 2019. "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models," CEPR Discussion Papers 13890, C.E.P.R. Discussion Papers.
    7. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    8. Majid Al-Sadoon & Piotr Zwiernik, 2019. "The identification problem for linear rational expectations models," Economics Working Papers 1669, Department of Economics and Business, Universitat Pompeu Fabra.
    9. Meyer-Gohde, Alexander, 2024. "Solving and analyzing DSGE models in the frequency domain," IMFS Working Paper Series 207, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    10. Marco M. Sorge, 2020. "Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 363-372, June.
    11. Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
    12. Frank Hespeler, 2007. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," EcoMod2007 23900036, EcoMod.
    13. Frank Hespeler, 2012. "On Boundary Conditions Within the Solution of Macroeconomic Dynamic Models with Rational Expectations," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 265-291, October.
    14. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
    15. Mostafavi, Moeen & Fatehi, Ali-Reza & Shakouri G., Hamed & Von zur Muehlen, Peter, 2011. "A predictive multi-agent approach to model systems with linear rational expectations," MPRA Paper 35351, University Library of Munich, Germany, revised 11 Dec 2011.
    16. Majid M. Al-Sadoon, 2020. "Regularized Solutions to Linear Rational Expectations Models," Papers 2009.05875, arXiv.org, revised Oct 2020.
    17. William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008. "Design Limits and Dynamic Policy Analysis," NBER Working Papers 14357, National Bureau of Economic Research, Inc.
    18. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    19. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.

  14. Alexei Onatski & Noah Williams, 2004. "Empirical and policy performance of a forward-looking monetary model," Proceedings, Federal Reserve Bank of San Francisco, issue mar.

    Cited by:

    1. Haider, Adnan & Khan, Safdar Ullah, 2008. "A Small Open Economy DSGE Model for Pakistan," MPRA Paper 12977, University Library of Munich, Germany, revised 17 Jan 2009.
    2. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through," Working Paper Series 179, Sveriges Riksbank (Central Bank of Sweden).
    3. Pelin Ilbas, 2007. "Optimal Monetary Policy Rules for the Euro Area in a DSGE Framework," Money Macro and Finance (MMF) Research Group Conference 2006 59, Money Macro and Finance Research Group.
    4. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    5. John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
    6. Minford, Patrick & Ou, Zhirong, 2009. "Taylor Rule or Optimal Timeless Policy? Reconsidering the Fed's behaviour since 1982," Cardiff Economics Working Papers E2009/19, Cardiff University, Cardiff Business School, Economics Section, revised May 2010.
    7. Lars E. O. Svensson, 2005. "Targeting versus instrument rules for monetary policy: what is wrong with McCallum and Nelson?," Review, Federal Reserve Bank of St. Louis, vol. 87(Sep), pages 613-626.
    8. Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
    9. Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.
    10. Pytlarczyk, Ernest, 2005. "An estimated DSGE model for the German economy within the euro area," Discussion Paper Series 1: Economic Studies 2005,33, Deutsche Bundesbank.
    11. John C. Williams, 2005. "Robust estimation and monetary policy with unobserved structural change," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 53-81.
    12. F. Owen Irvine & Scott Schuh, 2007. "The roles of comovement and inventory investment in the reduction of output volatility," Proceedings, Federal Reserve Bank of San Francisco, issue nov.
    13. Roland Straub & Günter Coenen, 2005. "Non-Ricardian Households and Fiscal Policy in an Estimated DSGE Model of the Euro Area," Computing in Economics and Finance 2005 102, Society for Computational Economics.
    14. Mr. Roland Straub & Gert Peersman, 2006. "Putting the New Keynesian Model to a Test," IMF Working Papers 2006/135, International Monetary Fund.
    15. Melecky, Martin & Rodrıguez Palenzuela, Diego & Soderstrom, Ulf, 2008. "Inflation Target Transparency and the Macroeconomy," MPRA Paper 10545, University Library of Munich, Germany.
    16. Marcin Kolasa, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," NBP Working Papers 49, Narodowy Bank Polski.
    17. McAdam, Peter & Levine, Paul & Pearlman, Joseph G., 2007. "Quantifying and sustaining welfare gains from monetary commitment," Working Paper Series 709, European Central Bank.
    18. Coenen, Gunter & Levin, Andrew T. & Christoffel, Kai, 2007. "Identifying the influences of nominal and real rigidities in aggregate price-setting behavior," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2439-2466, November.
    19. Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    20. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
    21. Lars E.O. Svensson, 2004. "Targeting Rules vs. Instrument Rules for Monetary Policy: What is Wrong with McCallum and Nelson?," NBER Working Papers 10747, National Bureau of Economic Research, Inc.
    22. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
    23. Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics.
    24. Iwasaki, Yuto & Kubota, Hiroyuki & Muto, Ichiro & Shintani, Mototsugu, 2025. "Monetary policy, labor force participation, and wage rigidity," Journal of Economic Dynamics and Control, Elsevier, vol. 175(C).
    25. Gert Peersman & Roland Straub, 2009. "Technology Shocks And Robust Sign Restrictions In A Euro Area Svar," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 727-750, August.
    26. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    27. Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
    28. Levin, Andrew T. & Moessner, Richhild, 2005. "Inflation persistence and monetary policy design: an overview," Working Paper Series 539, European Central Bank.
    29. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    30. Fabio Milani, 2005. "Expectations, Learning and Macroeconomic Persistence," Macroeconomics 0510022, University Library of Munich, Germany.
    31. Minford, Patrick & Ou, Zhirong & Wickens, Michael, 2012. "Revisiting the Great Moderation: policy or luck?," Cardiff Economics Working Papers E2012/9, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2014.
    32. Ben Ali, Samir, 2010. "A New Keynesian Phillips curve for Tunisia : Estimation and analysis of sensitivity," MPRA Paper 29624, University Library of Munich, Germany.
    33. Tillmann, Peter, 2005. "The New Keynesian Phillips Curve in Europe: does it fit or does it fail?," Discussion Paper Series 1: Economic Studies 2005,04, Deutsche Bundesbank.
    34. Kawther Alimi & Mohamed Chakroun, 2022. "Wage Rigidity Impacts on Unemployment and Inflation Persistence in Tunisia: Evidence from an Estimated DSGE Model," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 474-500, March.
    35. F. Owen Irvine & Scott Schuh, 2005. "The roles of comovement and inventory investment in the reduction of output volatility," Working Papers 05-9, Federal Reserve Bank of Boston.
    36. Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.

  15. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
    See citations under working paper version above.
  16. Onatski, Alexei & Stock, James H., 2002. "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 85-110, February.
    See citations under working paper version above.
  17. Kremer, Michael & Onatski, Alexei & Stock, James, 2001. "Searching for prosperity," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 55(1), pages 275-303, December.
    See citations under working paper version above.
  18. Alexei Onatski & James H. Stock, 1999. "Robust monetary policy under model uncertainty in a small model of the U.S. economy," Proceedings, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Marc P. Giannoni, 2007. "Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 179-213.
    2. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    3. Tetlow, Robert J. & von zur Muehlen, Peter, 2006. "Robustifying learnability," Working Paper Series 593, European Central Bank.
    4. Lars E.O. Svensson, 1999. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," NBER Working Papers 7276, National Bureau of Economic Research, Inc.
    5. Gino Cateau, 2005. "Monetary Policy under Model and Data-Parameter Uncertainty," Staff Working Papers 05-6, Bank of Canada.
    6. William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers 10495, National Bureau of Economic Research, Inc.
    7. Humala, Alberto & Rodríguez, Gabriel, 2009. "Estimation of a Time Varying Natural Interest Rate for Peru," Working Papers 2009-009, Banco Central de Reserva del Perú.
    8. Ippei Fujiwara & Naoko Hara & Naohisa Hirakata & Takeshi Kimura & Shinichiro Watanabe, 2007. "Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policymaking under Uncertainty," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 25(2), pages 89-128, November.
    9. Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
    10. Orphanides, Athanasios, 2003. "The quest for prosperity without inflation," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 633-663, April.
    11. Frederick van der Ploeg, 2007. "Prudent Monetary Policy and Cautious Prediction of the Output Gap," Economics Working Papers ECO2007/40, European University Institute.
    12. Andrew Levin & Volker Wieland & John C. Williams, 2003. "The Performance of Forecast-Based Monetary Policy Rules Under Model Uncertainty," American Economic Review, American Economic Association, vol. 93(3), pages 622-645, June.
    13. McAdam, Peter & Levine, Paul & Pearlman, Joseph G., 2006. "Inflation forecast-based-rules and indeterminacy: a puzzle and a resolution," Working Paper Series 643, European Central Bank.
    14. William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers 2006-035, Federal Reserve Bank of St. Louis.
    15. David Kendrick & Hans Amman, 2006. "A Classification System for Economic Stochastic Control Models," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 453-481, June.
    16. Yuong Ha, 2000. "Uncertainty about the length of the monetary policy transmission lag: implications for monetary policy," Reserve Bank of New Zealand Discussion Paper Series DP2000/01, Reserve Bank of New Zealand.
    17. Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
    18. Felipe Morandé Lavín & Mauricio Tejada, 2008. "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers wp285, University of Chile, Department of Economics.
    19. Rodríguez Arnulfo & González Fidel & González García Jesús R., 2007. "Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority," Working Papers 2007-05, Banco de México.
    20. Brock,W.A. & Durlauf,S.N., 2004. "Macroeconomics and model uncertainty," Working papers 20, Wisconsin Madison - Social Systems.
    21. Michael Funke & Michael Paetz, 2011. "Environmental policy under model uncertainty: a robust optimal control approach," Climatic Change, Springer, vol. 107(3), pages 225-239, August.
    22. Arabinda Basistha & Richard Startz, 2005. "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Computing in Economics and Finance 2005 46, Society for Computational Economics.
    23. Meixing Dai & Eleftherios Spyromitros, 2009. "Accountability and Transparency about Central Bank Preferences for Model Robustness," Working Papers of BETA 2009-18, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    24. Ben Martin, 1999. "Caution and gradualism in monetary policy under uncertainty," Bank of England working papers 105, Bank of England.
    25. Martin Ellison & Thomas J. Sargent, 2009. "A defence of the FOMC," Economics Series Working Papers 457, University of Oxford, Department of Economics.
    26. Efrem Castelnuovo, 2002. "Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model," Macroeconomics 0211006, University Library of Munich, Germany.
    27. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
    28. Gadi Barlevy, 2010. "Robustness and macroeconomic policy," Working Paper Series WP-2010-04, Federal Reserve Bank of Chicago.
    29. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
    30. Robert Tchaidze & Alina Carare, 2004. "The Use and Abuse of Taylor Rules: How precisely can we estimate them?," Econometric Society 2004 Latin American Meetings 132, Econometric Society.
    31. Richard Dennis, 2008. "Model Uncertainty and Monetary Policy," NCER Working Paper Series 30, National Centre for Econometric Research.
    32. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
    33. Keith Kuester & Volker Wieland, 2008. "Insurance Policies for Monetary Policy in the Euro Area," Discussion Papers 07-044, Stanford Institute for Economic Policy Research.
    34. Favero, Carlo A. & Milani, Fabio, 2005. "Parameter Instability, Model Uncertainty and the Choice of Monetary Policy," CEPR Discussion Papers 4909, C.E.P.R. Discussion Papers.
    35. Ramón Adalid & Günter Coenen & Peter McAdam & Stefano Siviero, 2005. "The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
    36. William A. Brock & Steven N. Durlauf & James M. Nason & Giacomo Rondina, 2007. "Simple versus optimal rules as guides to policy," FRB Atlanta Working Paper 2007-07, Federal Reserve Bank of Atlanta.
    37. Miguel Casares, 2006. "A close look at model-dependent monetary policy design," Review, Federal Reserve Bank of St. Louis, vol. 88(Sep), pages 451-470.
    38. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," NBER Working Papers 10025, National Bureau of Economic Research, Inc.
    39. Fabio Milani, 2004. "Monetary Policy with a Wider Information Set: a Bayesian Model Averaging Approach," Macroeconomics 0401004, University Library of Munich, Germany.
    40. Jean-Stéphane Mésonnier & Jean-Paul Renne, 2004. "A Time-Varying Natural Rate for the Euro Area," Working papers 115, Banque de France.
    41. Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," Working Paper Series 83, Sveriges Riksbank (Central Bank of Sweden).
    42. Coenen, Günter, 2003. "Inflation persistence and robust monetary policy design," Working Paper Series 290, European Central Bank.
    43. Orphanides, Athanasios & Wieland, Volker, 2000. "Inflation zone targeting," European Economic Review, Elsevier, vol. 44(7), pages 1351-1387, June.
    44. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," NBER Working Papers 9566, National Bureau of Economic Research, Inc.
    45. Kirdan Lees, 2004. "Uncertainty and the open economy: a view through two different lenses," Econometric Society 2004 Australasian Meetings 235, Econometric Society.
    46. Efrem Castelnuovo, 2003. "Taylor Rules and Interest Rate Smoothing in the US and EMU," Macroeconomics 0303002, University Library of Munich, Germany.
    47. Alexei Onatski, 2000. "Minimax Analysis of Monetary Policy Under Model Uncertainty," Econometric Society World Congress 2000 Contributed Papers 1818, Econometric Society.
    48. Mr. Helmut Wagner, 2001. "Implications of Globalization for Monetary Policy," IMF Working Papers 2001/184, International Monetary Fund.
    49. Jean-Stephane Mesonnier & Jean-Paul Renne, 2004. "A Time Varying Natural Rate of Interest for the Euro Area," Money Macro and Finance (MMF) Research Group Conference 2004 42, Money Macro and Finance Research Group.
    50. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    51. Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
    52. Roberto M. Billi, 2007. "Optimal inflation for the U.S," Research Working Paper RWP 07-03, Federal Reserve Bank of Kansas City.
    53. Robert Tetlow & Peter von zur Muehlen, 2004. "Avoiding Nash Inflation: Bayesian and Robus Responses to Model Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 869-899, October.
    54. Brock,W.A. & Durlauf,S.N. & West,K.D., 2004. "Model uncertainty and policy evaluation : some theory and empirics," Working papers 19, Wisconsin Madison - Social Systems.
    55. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    56. Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena 569, Department of Economics, University of Siena.
    57. Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area," CESifo Working Paper Series 2575, CESifo.
    58. Cohen-Cole,E.B. & Durlauf,S.N. & Rondina,G., 2005. "Nonlinearities in growth : from evidence to policy," Working papers 9, Wisconsin Madison - Social Systems.
    59. Kirdan Lees, 2006. "What do robust policies look like for open economy inflation targeters?," Reserve Bank of New Zealand Discussion Paper Series DP2006/08, Reserve Bank of New Zealand.
    60. William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008. "Design Limits and Dynamic Policy Analysis," NBER Working Papers 14357, National Bureau of Economic Research, Inc.
    61. Anastasios Xepapadeas & Giannis Vardas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 2004.66, Fondazione Eni Enrico Mattei.
    62. Meixing DAI & Eleftherios SPYROMITROS, 2008. "Monetary policy, asset prices and model uncertainty," Working Papers of BETA 2008-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    63. Justin Svec & Ryan Chahrour, 2011. "Optimal Capital Taxation and Consumer Uncertainty," Working Papers 1108, College of the Holy Cross, Department of Economics.
    64. Marco Tucci, 2006. "Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 533-558, June.
    65. Fabrizio Zampolli, 2006. "Optimal monetary policy in a regime-switching economy: the response to abrupt shifts in exchange rate dynamics," Bank of England working papers 297, Bank of England.

Chapters

  1. Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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