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Daniel J. Lewis

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.

Working papers

  1. Daniel Lewis & Davide Melcangi & Laura Pilossoph, 2024. "Latent heterogeneity in the marginal propensity to consume," CeMMAP working papers 13/24, Institute for Fiscal Studies.

    Cited by:

    1. Christian Hellwig & Nicolas Werquin, 2022. "A Fair Day's Pay for a Fair Day's Work: Optimal Tax Design as Redistributional Arbitrage," Working Paper Series WP 2022-03, Federal Reserve Bank of Chicago.
    2. Hellwig, Christian & Werquin, Nicolas, 2022. "Using Consumption Data to Derive Optimal Income and Capital Tax Rates," TSE Working Papers 22-1284, Toulouse School of Economics (TSE), revised Jul 2024.
    3. Peter Andre & Joel P. Flynn & Georgios Nikolakoudis & Karthik Sastry, 2025. "Quick-Fixing: Near-Rationality in Consumption and Savings Behavior," NBER Working Papers 33464, National Bureau of Economic Research, Inc.
    4. Greg Kaplan & Giovanni L. Violante, 2021. "The Marginal Propensity to Consume in Heterogeneous Agent Models," Working Papers 2021-9, Princeton University. Economics Department..
    5. Jorge Miranda-Pino & Daniel Murphy & Kieran Walsh & Eric Young, 2020. "A Model of Expenditure Shocks," Working Papers 20-04, Federal Reserve Bank of Cleveland.
    6. Marcel Fafchamps & Aditya Shrinivas, 2022. "Risk Pooling and Precautionary Saving in Village Economies," NBER Working Papers 30128, National Bureau of Economic Research, Inc.
    7. Dutt, Satyajit & Radermacher, Jan W., 2023. "Age, wealth, and the MPC in Europe: A supervised machine learning approach," SAFE Working Paper Series 383, Leibniz Institute for Financial Research SAFE.
    8. Pierre-Olivier Gourinchas & Ṣebnem Kalemli-Özcan & Veronika Penciakova & Nick Sander, 2021. "Fiscal Policy in the Age of COVID: Does it ‘Get in all of the Cracks?’," NBER Working Papers 29293, National Bureau of Economic Research, Inc.
    9. Fessler, Pirmin & Rapp, Severin, 2024. "The Subjective Wealth Distribution: How it Arises and Why it Matters to Inform Policy?," SocArXiv 3x4jh, Center for Open Science.

  2. Daniel Lewis, 2024. "Identification based on higher moments," CeMMAP working papers 03/24, Institute for Fiscal Studies.

    Cited by:

    1. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.

  3. Daniel J. Lewis & Davide Melcangi & Laura Pilossoph & Aidan Toner-Rodgers, 2022. "Approximating Grouped Fixed Effects Estimation via Fuzzy Clustering Regression," Staff Reports 1033, Federal Reserve Bank of New York.

    Cited by:

    1. Daniel Lewis & Davide Melcangi & Laura Pilossoph, 2024. "Latent Heterogeneity in the Marginal Propensity to Consume," NBER Working Papers 32523, National Bureau of Economic Research, Inc.
    2. Pionati, Alessandro, 2025. "Latent grouped structures in panel data: a review," MPRA Paper 123954, University Library of Munich, Germany.

  4. Daniel J. Lewis & Karel Mertens, 2022. "A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors," Working Papers 2208, Federal Reserve Bank of Dallas, revised 26 Sep 2024.

    Cited by:

    1. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    2. Chang Liu & Yinxi Xie, 2023. "Understanding Inflation Dynamics: The Role of Government Expenditures," Staff Working Papers 23-30, Bank of Canada.
    3. Campbell, Douglas & Brodeur, Abel & Dreber, Anna & Johannesson, Magnus & Kopecky, Joseph & Lusher, Lester & Tsoy, Nikita, 2024. "The Robustness Reproducibility of the American Economic Review," I4R Discussion Paper Series 124, The Institute for Replication (I4R).

  5. Daniel J. Lewis & Karel Mertens, 2022. "A Robust Test for Weak Instruments with Multiple Endogenous Regressors," Staff Reports 1020, Federal Reserve Bank of New York.

    Cited by:

    1. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    2. Chang Liu & Yinxi Xie, 2023. "Understanding Inflation Dynamics: The Role of Government Expenditures," Staff Working Papers 23-30, Bank of Canada.
    3. Campbell, Douglas & Brodeur, Abel & Dreber, Anna & Johannesson, Magnus & Kopecky, Joseph & Lusher, Lester & Tsoy, Nikita, 2024. "The Robustness Reproducibility of the American Economic Review," I4R Discussion Paper Series 124, The Institute for Replication (I4R).

  6. Daniel J. Lewis & Karel Mertens & James H. Stock, 2020. "Monitoring Real Activity in Real Time: The Weekly Economic Index," Liberty Street Economics 20200330b, Federal Reserve Bank of New York.

    Cited by:

    1. Marc Burri & Daniel Kaufmann, 2020. "A daily fever curve for the Swiss economy," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-11, December.
    2. Le, Thai-Ha & Boubaker, Sabri & Bui, Manh Tien & Park, Donghyun, 2023. "On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility," Energy Economics, Elsevier, vol. 117(C).
    3. Jean-Charles Bricongne & Baptiste Meunier & Raquel Caldeira, 2024. "Should Central Banks Care About Text Mining? A Literature Review," Working papers 950, Banque de France.
    4. Woloszko, Nicolas, 2024. "Nowcasting with panels and alternative data: The OECD weekly tracker," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1302-1335.
    5. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.
    6. Fornaro, Paolo, 2020. "Nowcasting Industrial Production Using Uncoventional Data Sources," ETLA Working Papers 80, The Research Institute of the Finnish Economy.
    7. Patricia C. Mosser, 2020. "Central bank responses to COVID-19," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 55(4), pages 191-201, October.
    8. Nicolas Woloszko, 2020. "Tracking activity in real time with Google Trends," OECD Economics Department Working Papers 1634, OECD Publishing.
    9. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2021. "High-Frequency Data and a Weekly Economic Index during the Pandemic," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 326-330, May.
    10. Mariia Artemova & Francisco Blasques & Siem Jan Koopman & Zhaokun Zhang, 2021. "Forecasting in a changing world: from the great recession to the COVID-19 pandemic," Tinbergen Institute Discussion Papers 21-006/III, Tinbergen Institute.

  7. Mertens, Karel & Lewis, Daniel & Makridis, Christos, 2020. "Do Monetary Policy Announcements Shift Household Expectations?," CEPR Discussion Papers 14360, C.E.P.R. Discussion Papers.

    Cited by:

    1. Coibion, Olivier & Georgarakos, Dimitris & Gorodnichenko, Yuriy & Weber, Michael, 2020. "Forward Guidance and Household Expectations," Department of Economics, Working Paper Series qt63x5f3w5, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    2. Choi, Sangyup & Shin, Junhyeok & Yoo, Seung Yong, 2022. "Are government spending shocks inflationary at the zero lower bound? New evidence from daily data," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    3. Luisa Corrado & Daniela Fantozzi & Simona Giglioli, 2022. "Real-time inequalities and policies during the pandemic in the US," Temi di discussione (Economic working papers) 1396, Bank of Italy, Economic Research and International Relations Area.
    4. Yotzov, Ivan & Bloom, Nicholas & Bunn, Philip & Mizen, Paul & Thwaites, Gregory, 2024. "The speed of firm response to inflation," Bank of England working papers 1085, Bank of England, revised 01 Feb 2025.
    5. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    6. Olivier Coibion & Yuriy Gorodnichenko & Edward S. Knotek II & Raphael Schoenle, 2020. "Average Inflation Targeting and Household Expectations," NBER Working Papers 27836, National Bureau of Economic Research, Inc.
    7. Conrad, Christian & Enders, Zeno & Glas, Alexander, 2020. "The role of information and experience for households' inflation expectations," Working Papers 20, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    8. Olivier Coibion & Yuriy Gorodnichenko & Saten Kumar & Mathieu Pedemonte, 2019. "Inflation Expectations as a Policy Tool?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2019, National Bureau of Economic Research, Inc.
    9. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
    10. Claus, Edda & Nguyen, Viet Hoang, 2023. "Biased expectations," European Economic Review, Elsevier, vol. 154(C).
    11. Binder, Carola & Campbell, Jeffrey & Ryngaert, Jane M., 2024. "Consumer Inflation Expectations: Daily Dynamics," CEPR Discussion Papers 19011, C.E.P.R. Discussion Papers.
    12. Lena Dräger & Michael J. Lamla, 2024. "Consumers' macroeconomic expectations," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 427-451, April.
    13. Julien Pinter & Evžen Kocenda, 2023. "Media Treatment of Monetary Policy Surprises and Their Impact on Firms’ and Consumers’ Expectations," CESifo Working Paper Series 10413, CESifo.
    14. Kim Nguyen & Gianni La Cava, 2020. "Start Spreading the News: News Sentiment and Economic Activity in Australia," RBA Research Discussion Papers rdp2020-08, Reserve Bank of Australia.
    15. De Fiore, Fiorella & Lombardi, Marco & Schuffels, Johannes, 2022. "Are Households Indifferent to Monetary Policy Announcements?," CEPR Discussion Papers 17041, C.E.P.R. Discussion Papers.
    16. Dajčman Silvo, 2020. "Economic policy and confidence of economic agents – a causal relationship?," Review of Economic Perspectives, Sciendo, vol. 20(4), pages 471-484, December.
    17. Ambrocio, Gene & Juselius, Mikael, 2020. "Dealing with the costs of the COVID-19 pandemic – what are the fiscal options?," BoF Economics Review 2/2020, Bank of Finland.
    18. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    19. Angino, Siria & Robitu, Robert, 2023. "One question at a time! A text mining analysis of the ECB Q&A session," Working Paper Series 2852, European Central Bank.
    20. Moritz Grebe & Peter Tillmann, 2022. "Household Expectations and Dissent Among Policymakers," MAGKS Papers on Economics 202226, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    21. Grebe, Moritz & Tillmann, Peter, 2022. "Household expectations and dissent among policymakers," IMFS Working Paper Series 169, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    22. Hamid Baghestani & Sehar Fatima, 2021. "Growth in US Durables Spending: Assessing the Impact of Consumer Ability and Willingness to Buy," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 55-69, April.
    23. Große Steffen, Christoph, 2021. "Anchoring of long-term inflation expectations: Do inflation target formulations matter?," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242466, Verein für Socialpolitik / German Economic Association.
    24. SYED, Sarfaraz Ali Shah, 2021. "Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

  8. Daniel Lewis & Karel Mertens & James H. Stock, 2020. "U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak," NBER Working Papers 26954, National Bureau of Economic Research, Inc.

    Cited by:

    1. Peter Fuleky, 2022. "Nowcasting the trajectory of the COVID-19 recovery," Applied Economics Letters, Taylor & Francis Journals, vol. 29(11), pages 1037-1041, June.
    2. Barbaglia, Luca & Frattarolo, Lorenzo & Onorante, Luca & Pericoli, Filippo Maria & Ratto, Marco & Tiozzo Pezzoli, Luca, 2022. "Testing big data in a big crisis: Nowcasting under COVID-19," JRC Working Papers in Economics and Finance 2022-06, Joint Research Centre, European Commission.
    3. Baron, E. Jason & Goldstein, Ezra G. & Wallace, Cullen T., 2020. "Suffering in silence: How COVID-19 school closures inhibit the reporting of child maltreatment," Journal of Public Economics, Elsevier, vol. 190(C).
    4. Toufique, M. M. K., 2020. "Why do some countries have more COVID-19 cases than others? Evidence from 70 most affected countries sans China," EconStor Preprints 222456, ZBW - Leibniz Information Centre for Economics.
    5. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    6. Lahiri, Kajal & Yang, Cheng, 2022. "Boosting tax revenues with mixed-frequency data in the aftermath of COVID-19: The case of New York," International Journal of Forecasting, Elsevier, vol. 38(2), pages 545-566.
    7. Ezra Karger & Aastha Rajan, 2020. "Heterogeneity in the Marginal Propensity to Consume: Evidence from Covid-19 Stimulus Payments," Working Paper Series WP 2020-15, Federal Reserve Bank of Chicago.
    8. Natalia Porto & Pablo de la Vega, 2024. "Employment and Teleworking in the Argentine Tourism Sector: a Case Study Based on the COVID-19 Pandemic," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 6706-6736, June.
    9. Brodeur, Abel & Gray, David & Islam, Anik & Bhuiyan, Suraiya Jabeen, 2020. "A Literature Review of the Economics of COVID-19," GLO Discussion Paper Series 601, Global Labor Organization (GLO).
    10. Robert Lehmann & Sascha Möhrle, 2024. "Forecasting regional industrial production with novel high‐frequency electricity consumption data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1918-1935, September.
    11. Zheng, Chen & Zhang, Junru, 2021. "The impact of COVID-19 on the efficiency of microfinance institutions," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 407-423.
    12. Berger, Tino & Morley, James & Wong, Benjamin, 2023. "Nowcasting the output gap," Journal of Econometrics, Elsevier, vol. 232(1), pages 18-34.
      • Tino Berger & James Morley & Benjamin Wong, 2020. "Nowcasting the output gap," CAMA Working Papers 2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Diane Alexander & Ezra Karger, 2020. "Do Stay-at-Home Orders Cause People to Stay at Home? Effects of Stay-at-Home Orders on Consumer Behavior," Working Paper Series WP-2020-12, Federal Reserve Bank of Chicago, revised 19 Aug 2021.
    14. Buda, G. & Carvalho, V. M. & Corsetti, G. & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, A. & Rodrigo, T. & Ortiz, A. & Ortiz, A., 2023. "Short and Variable Lags," Janeway Institute Working Papers 2308, Faculty of Economics, University of Cambridge.
    15. William Ridley & Sherzod B. Akhundjanov & Stephen Devadoss, 2023. "The COVID‐19 pandemic and trade in agricultural products," The World Economy, Wiley Blackwell, vol. 46(8), pages 2432-2455, August.
    16. Olympia Bover & Natalia Fabra & Sandra García-Uribe & Aitor Lacuesta & Roberto Ramos, 2023. "Firms and Households during the Pandemic: What Do We Learn from Their Electricity Consumption?," The Energy Journal, , vol. 44(3), pages 267-288, May.
    17. Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
    18. Tyler Atkinson & Jim Dolmas & Christoffer Koch & Evan F. Koenig & Karel Mertens & Anthony Murphy & Kei-Mu Yi, 2020. "Mobility and Engagement Following the SARS-Cov-2 Outbreak," Working Papers 2014, Federal Reserve Bank of Dallas.
    19. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & John Grigsby & Adrian Hamins-Puertolas & Erik Hurst & Christopher Kurz & Ahu Yildirmaz, 2020. "The US Labor Market during the Beginning of the Pandemic Recession," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(2 (Summer), pages 3-33.
    20. Ana B. Galvão & Michael T. Owyang, 2020. "Forecasting Low Frequency Macroeconomic Events with High Frequency Data," Working Papers 2020-028, Federal Reserve Bank of St. Louis, revised Apr 2022.
    21. Kong, Edward & Prinz, Daniel, 2020. "Disentangling policy effects using proxy data: Which shutdown policies affected unemployment during the COVID-19 pandemic?," Journal of Public Economics, Elsevier, vol. 189(C).
    22. Galdi, Giulio & Casarin, Roberto & Ferrari, Davide & Fezzi, Carlo & Ravazzolo, Francesco, 2023. "Nowcasting industrial production using linear and non-linear models of electricity demand," Energy Economics, Elsevier, vol. 126(C).
    23. William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    24. Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
    25. Sakouvogui Kekoura & Guilavogui Mama Genevieve, 2022. "How are the United States Banks faring during the COVID-19 Pandemic? Evidence of Economic Efficiency Measures," Open Economics, De Gruyter, vol. 5(1), pages 11-29, January.
    26. Sjoquist, David & Wheeler, Laura, 2021. "Unemployment insurance claims and COVID-19," Journal of Economics and Business, Elsevier, vol. 115(C).
    27. Ilan Noy & Nguyen Doan & Benno Ferrarini & Donghyun Park, 2020. "Measuring the Economic Risk of Covid-19," CESifo Working Paper Series 8373, CESifo.
    28. Demirguc-Kunt,Asli & Lokshin,Michael M. & Torre,Ivan, 2020. "The Sooner, the Better : The Early Economic Impact of Non-Pharmaceutical Interventions during the COVID-19 Pandemic," Policy Research Working Paper Series 9257, The World Bank.
    29. Catherine Buffington & Carrie Dennis & Emin Dinlersoz & Lucia Foster & Shawn Klimek, 2020. "Measuring the Effect of COVID-19 on U.S. Small Businesses: The Small Business Pulse Survey," Working Papers 20-16, Center for Economic Studies, U.S. Census Bureau.
    30. Raymundo M. Campos-Vazquez & Gerardo Esquivel, 2021. "Consumption and geographic mobility in pandemic times. Evidence from Mexico," Review of Economics of the Household, Springer, vol. 19(2), pages 353-371, June.
    31. Aysu Celgin & Mahmut Gunay, 2020. "Weekly Economic Conditions Index for Turkey," CBT Research Notes in Economics 2018, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    32. Daniel Borup & David E. Rapach & Erik Christian Montes Schütte, 2021. "Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data," CREATES Research Papers 2021-02, Department of Economics and Business Economics, Aarhus University.
    33. Shibata, Ippei, 2021. "The distributional impact of recessions: The global financial crisis and the COVID-19 pandemic recession," Journal of Economics and Business, Elsevier, vol. 115(C).
    34. Todd Gabe & Andrew Crawley, 2021. "Effects of the COVID-related stay-at-home order on hospitality sales and automobile traffic counts: evidence from the State of Maine, USA," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 336-341.
    35. Horvath, Akos & Kay, Benjamin & Wix, Carlo, 2023. "The COVID-19 shock and consumer credit: Evidence from credit card data," Journal of Banking & Finance, Elsevier, vol. 152(C).
    36. Chen, Zhuo & Li, Pengfei & Liao, Li & Liu, Lu & Wang, Zhengwei, 2024. "Assessing and addressing the coronavirus-induced economic crisis: Evidence from 1.5 billion sales invoices," China Economic Review, Elsevier, vol. 85(C).
    37. Fabian Stephany & Leonie Neuhäuser & Niklas Stoehr & Philipp Darius & Ole Teutloff & Fabian Braesemann, 2022. "The CoRisk-Index: a data-mining approach to identify industry-specific risk perceptions related to Covid-19," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-15, December.
    38. Yörük, Barış K., 2022. "Early effects of COVID-19 pandemic-related state policies on housing market activity in the United States," Journal of Housing Economics, Elsevier, vol. 57(C).
    39. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
    40. Habtewold, Tsegaye Mulugeta, 2021. "Our Welfare at The Time of Covid-19: Early Empirical Assessment for Ethiopia," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 9(2), April.
    41. Paul Labonne, 2020. "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers 2012.02601, arXiv.org, revised May 2024.
    42. Eraslan, Sercan & Götz, Thomas, 2021. "An unconventional weekly economic activity index for Germany," Economics Letters, Elsevier, vol. 204(C).
    43. Fezzi, Carlo & Fanghella, Valeria, 2021. "Tracking GDP in real-time using electricity market data: Insights from the first wave of COVID-19 across Europe," European Economic Review, Elsevier, vol. 139(C).
    44. Anna Cororaton & Samuel Rosen, 2021. "Public Firm Borrowers of the U.S. Paycheck Protection Program [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 10(4), pages 641-693.
    45. Lourenço, Nuno & Rua, António, 2021. "The Daily Economic Indicator: tracking economic activity daily during the lockdown," Economic Modelling, Elsevier, vol. 100(C).
    46. Akos Horvath & Benjamin S. Kay & Carlo Wix, 2021. "The COVID-19 Shock and Consumer Credit: Evidence from Credit Card Data," Finance and Economics Discussion Series 2021-008, Board of Governors of the Federal Reserve System (U.S.).
    47. Atems, Bebonchu & Yimga, Jules, 2021. "Quantifying the impact of the COVID-19 pandemic on US airline stock prices," Journal of Air Transport Management, Elsevier, vol. 97(C).
    48. Baek, ChaeWon & McCrory, Peter B & Messer, Todd & Mui, Preston, 2020. "Unemployment Effects of Stay-at-Home Orders: Evidence from High Frequency Claims Data," Institute for Research on Labor and Employment, Working Paper Series qt042177j7, Institute of Industrial Relations, UC Berkeley.
    49. António Rua & Nuno Lourenço, 2020. "The DEI: tracking economic activity daily during the lockdown," Working Papers w202013, Banco de Portugal, Economics and Research Department.
    50. Borup, Daniel & Rapach, David E. & Schütte, Erik Christian Montes, 2023. "Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1122-1144.
    51. Baulkaran, Vishaal & Jain, Pawan, 2023. "COVID-19, home equity and retirement funding," Finance Research Letters, Elsevier, vol. 58(PB).

  9. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "High Frequency Data and a Weekly Economic Index during the Pandemic," Staff Reports 954, Federal Reserve Bank of New York.

    Cited by:

    1. Luciano Campos & Danilo Leiva-León & Steven Zapata, 2022. "Latin American Falls, Rebounds and Tail," Working Papers 145, Red Nacional de Investigadores en Economía (RedNIE).
    2. Cooray, Arusha & Gangopadhyay, Partha & Das, Narasingha, 2023. "Causality between volatility and the weekly economic index during COVID-19: The predictive power of efficient markets and rational expectations," International Review of Financial Analysis, Elsevier, vol. 89(C).
    3. Daniel Ollech & Deutsche Bundesbank, 2023. "Economic analysis using higher-frequency time series: challenges for seasonal adjustment," Empirical Economics, Springer, vol. 64(3), pages 1375-1398, March.
    4. Margaret M. Jacobson & Christian Matthes & Todd B. Walker, 2022. "Inflation Measured Every Day Keeps Adverse Responses Away: Temporal Aggregation and Monetary Policy Transmission," Finance and Economics Discussion Series 2022-054, Board of Governors of the Federal Reserve System (U.S.).
    5. Ollech, Daniel, 2021. "Economic analysis using higher frequency time series: Challenges for seasonal adjustment," Discussion Papers 53/2021, Deutsche Bundesbank.
    6. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.
    7. Luciano Campos & Danilo Leiva-León & Steven Zapata- Álvarez, 2022. "Latin American Falls, Rebounds and Tail Risks," Borradores de Economia 1201, Banco de la Republica de Colombia.
    8. Menezes, Flavio & Figer, Vivian & Jardim, Fernanda & Medeiros, Pedro, 2022. "A near real-time economic activity tracker for the Brazilian economy during the COVID-19 pandemic," Economic Modelling, Elsevier, vol. 112(C).
    9. Toledo Wilfredo, 2021. "Covid-19 and Unemployment: Evidence from Puerto Rico Using Bayesian Analyses with High-Frequency Data," Economics and Business, Sciendo, vol. 35(1), pages 174-189, January.
    10. Furukawa, Kakuho & Hisano, Ryohei & Minoura, Yukio & Yagi, Tomoyuki, 2024. "A nowcasting model of industrial production using alternative data and machine learning approaches," Japan and the World Economy, Elsevier, vol. 71(C).
    11. Rueben Ellul & Germano Ruisi, 2022. "Nowcasting the Maltese economy with a dynamic factor model," CBM Working Papers WP/02/2022, Central Bank of Malta.

  10. Daniel J. Lewis & Karel Mertens & James H. Stock, 2020. "Measuring Real Activity Using a Weekly Economic Index," Working Papers 2011, Federal Reserve Bank of Dallas, revised 02 Mar 2021.

    Cited by:

    1. Peter Fuleky, 2022. "Nowcasting the trajectory of the COVID-19 recovery," Applied Economics Letters, Taylor & Francis Journals, vol. 29(11), pages 1037-1041, June.
    2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Nowcasting tail risk to economic activity at a weekly frequency," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 843-866, August.
    3. Baron, E. Jason & Goldstein, Ezra G. & Wallace, Cullen T., 2020. "Suffering in silence: How COVID-19 school closures inhibit the reporting of child maltreatment," Journal of Public Economics, Elsevier, vol. 190(C).
    4. Miranda Gualdrón, Karen Alejandra & Poncela, Pilar & Ruiz Ortega, Esther, 2021. "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS 32210, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Mahmood, Asif & Masood, Hina, 2024. "A High-frequency Monthly Measure of Real Economic Activity in Pakistan," MPRA Paper 121838, University Library of Munich, Germany.
    6. Toufique, M. M. K., 2020. "Why do some countries have more COVID-19 cases than others? Evidence from 70 most affected countries sans China," EconStor Preprints 222456, ZBW - Leibniz Information Centre for Economics.
    7. Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
    8. Arshad, Selvia & Beyer, Robert C.M., 2023. "Tracking economic fluctuations with electricity consumption in Bangladesh," Energy Economics, Elsevier, vol. 123(C).
    9. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    10. Donato Ceci & Andrea Silvestrini, 2023. "Nowcasting the state of the Italian economy: The role of financial markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
    11. Jean-Charles Bricongne & Baptiste Meunier & Sylvain Pouget, 2023. "Web-scraping housing prices in real-time: The Covid-19 crisis in the UK," Post-Print hal-04064185, HAL.
    12. Ezra Karger & Aastha Rajan, 2020. "Heterogeneity in the Marginal Propensity to Consume: Evidence from Covid-19 Stimulus Payments," Working Paper Series WP 2020-15, Federal Reserve Bank of Chicago.
    13. Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024. "Tracking Weekly State-Level Economic Conditions," The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
    14. Eraslan, Sercan & Reif, Magnus, 2023. "A latent weekly GDP indicator for Germany," Technical Papers 08/2023, Deutsche Bundesbank.
    15. Jose Asturias & William R. Bell & Rebecca Hutchinson & Tucker McElroy & Katherine J. Thompson, 2023. "Building the Census Bureau Index of Economic Activity (IDEA)," Working Papers 23-15, Center for Economic Studies, U.S. Census Bureau.
    16. Barend Abeln & Jan P.A.M. Jacobs, 2021. "COVID-19 and seasonal adjustment," CAMA Working Papers 2021-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. Urom, Christian & Ndubuisi, Gideon & Ozor, Jude, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, Elsevier, vol. 165(C), pages 51-66.
    18. Guglielmo Maria Caporale & Abdurrahman Nazif Çatık & Mohamad Husam Helmi & Coşkun Akdeniz & Ali İlhan, 2024. "Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(2), pages 529-558, May.
    19. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
    20. Zheng, Chen & Zhang, Junru, 2021. "The impact of COVID-19 on the efficiency of microfinance institutions," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 407-423.
    21. Diane Alexander & Ezra Karger, 2020. "Do Stay-at-Home Orders Cause People to Stay at Home? Effects of Stay-at-Home Orders on Consumer Behavior," Working Paper Series WP-2020-12, Federal Reserve Bank of Chicago, revised 19 Aug 2021.
    22. Knut Are Aastveit & Tuva Marie Fastbø & Eleonora Granziera & Kenneth Sæterhagen Paulsen & Kjersti Næss Torstensen, 2024. "Nowcasting Norwegian household consumption with debit card transaction data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1220-1244, November.
    23. Le, Thai-Ha & Boubaker, Sabri & Bui, Manh Tien & Park, Donghyun, 2023. "On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility," Energy Economics, Elsevier, vol. 117(C).
    24. Sharada Nia Davidson & Kevin Connolly & Ciara Crummey & Niccolo Brazzelli & Mairi Spowage, 2022. "Building a Suite of Subnational Socioeconomic Indicators for the United Kingdom: Opportunities, Challenges and Recommendations," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-13, Economic Statistics Centre of Excellence (ESCoE).
    25. Tyler Atkinson & Jim Dolmas & Christoffer Koch & Evan F. Koenig & Karel Mertens & Anthony Murphy & Kei-Mu Yi, 2020. "Mobility and Engagement Following the SARS-Cov-2 Outbreak," Working Papers 2014, Federal Reserve Bank of Dallas.
    26. Philipp Wegmüller & Christian Glocker, 2023. "US weekly economic index: Replication and extension," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 977-985, September.
    27. Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022. "A weekly structural VAR model of the US crude oil market," Working Papers 2022.11, Fondazione Eni Enrico Mattei.
    28. Timothy Armstrong & Martin Weidner & Andrei Zeleneev, 2024. "Robust estimation and inference in panels with interactive fixed effects," IFS Working Papers WCWP28/24, Institute for Fiscal Studies.
    29. Simone Emiliozzi & Concetta Rondinelli & Stefania Villa, 2023. "Consumption during the Covid-19 pandemic: evidence from Italian credit cards," Questioni di Economia e Finanza (Occasional Papers) 769, Bank of Italy, Economic Research and International Relations Area.
    30. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & John Grigsby & Adrian Hamins-Puertolas & Erik Hurst & Christopher Kurz & Ahu Yildirmaz, 2020. "The US Labor Market during the Beginning of the Pandemic Recession," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(2 (Summer), pages 3-33.
    31. VAN DER WIELEN Wouter & BARRIOS Salvador, 2020. "Fear and Employment During the COVID Pandemic: Evidence from Search Behaviour in the EU," JRC Working Papers on Taxation & Structural Reforms 2020-08, Joint Research Centre.
    32. Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
    33. Yonatan Navon & Ashton de Silva, 2023. "Measuring Local Economic Activity Using Pedestrian Count Data," The Economic Record, The Economic Society of Australia, vol. 99(S1), pages 35-49, December.
    34. Kong, Edward & Prinz, Daniel, 2020. "Disentangling policy effects using proxy data: Which shutdown policies affected unemployment during the COVID-19 pandemic?," Journal of Public Economics, Elsevier, vol. 189(C).
    35. William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    36. Woloszko, Nicolas, 2024. "Nowcasting with panels and alternative data: The OECD weekly tracker," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1302-1335.
    37. Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
    38. Ollech, Daniel, 2021. "Economic analysis using higher frequency time series: Challenges for seasonal adjustment," Discussion Papers 53/2021, Deutsche Bundesbank.
    39. Juan Pablo Cote-Barón & Karen L. Pulido-Mahecha & Nicol Valeria Rodríguez-Rodríguez & Carlos D. Rojas-Martínez, 2023. "El ISAE: Un Indicador para Monitorear la Actividad Económica Colombiana en Alta Frecuencia," Borradores de Economia 1225, Banco de la Republica de Colombia.
    40. Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, à . & Rodrigo, T. & Rodríguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Cambridge Working Papers in Economics 2509, Faculty of Economics, University of Cambridge.
      • Afonso S. Moura & Gergely Buda & Vasco M. Carvalho & Giancarlo Corsetti & João B. Duarte & Stephen Hansen & Álvaro Ortiz & Tomasa Rodrigo & José V. Rodríguez Mora & Guilherme Alves da Silva, 2025. "The Short Lags of Monetary Policy," Working Papers w202501, Banco de Portugal, Economics and Research Department.
      • Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, à . & Rodrigo, T. & Rodríguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Janeway Institute Working Papers 2504, Faculty of Economics, University of Cambridge.
    41. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
    42. Ilan Noy & Nguyen Doan & Benno Ferrarini & Donghyun Park, 2020. "Measuring the Economic Risk of Covid-19," CESifo Working Paper Series 8373, CESifo.
    43. Valentina Aprigliano & Simone Emiliozzi & Gabriele Guaitoli & Andrea Luciani & Juri Marcucci & Libero Monteforte, 2021. "The power of text-based indicators in forecasting the Italian economic activity," Temi di discussione (Economic working papers) 1321, Bank of Italy, Economic Research and International Relations Area.
    44. Demirguc-Kunt,Asli & Lokshin,Michael M. & Torre,Ivan, 2020. "The Sooner, the Better : The Early Economic Impact of Non-Pharmaceutical Interventions during the COVID-19 Pandemic," Policy Research Working Paper Series 9257, The World Bank.
    45. Francesco Casalena, 2024. "Back to normal? Assessing the Effects of the Federal Reserve's Quantitative Tightening," IHEID Working Papers 14-2024, Economics Section, The Graduate Institute of International Studies.
    46. Catherine Buffington & Carrie Dennis & Emin Dinlersoz & Lucia Foster & Shawn Klimek, 2020. "Measuring the Effect of COVID-19 on U.S. Small Businesses: The Small Business Pulse Survey," Working Papers 20-16, Center for Economic Studies, U.S. Census Bureau.
    47. Steven Bond-Smith & Peter Fuleky, 2022. "The effects of the pandemic on the economy of Hawaii," Working Papers 2022-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    48. Aysu Celgin & Mahmut Gunay, 2020. "Weekly Economic Conditions Index for Turkey," CBT Research Notes in Economics 2018, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    49. Ali B. Barlas & Seda Guler Mert & Berk Orkun Isa & Alvaro Ortiz & Tomasa Rodrigo & Baris Soybilgen & Ege Yazgan, 2021. "Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey," Papers 2107.03299, arXiv.org.
    50. Dunbar, Kwamie & Owusu-Amoako, Johnson & Treku, Daniel N., 2024. "Unveiling the Nexus: Carbon finance and climate technology advancements," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    51. Georgios Garafas, 2024. "From stocks to luxury watches: assessing the role of alternative economic indicators in macroeconomic forecasting," Economics Bulletin, AccessEcon, vol. 44(4), pages 1406-1413.
    52. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
    53. Wegmüller, Philipp & Glocker, Christian & Guggia, Valentino, 2023. "Weekly economic activity: Measurement and informational content," International Journal of Forecasting, Elsevier, vol. 39(1), pages 228-243.
    54. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
    55. Jeffrey Mollins & Rachit Lumb, 2024. "Seasonal Adjustment of Weekly Data," Discussion Papers 2024-17, Bank of Canada.
    56. Laura Felber & Simon Beyeler, 2023. "Nowcasting economic activity using transaction payments data," Working Papers 2023-01, Swiss National Bank.
    57. Valentina Aprigliano & Guerino Ardizzi & Alessia Cassetta & Alessandro Cavallero & Simone Emiliozzi & Alessandro Gambini & Nazzareno Renzi & Roberta Zizza, 2021. "Exploiting payments to track Italian economic activity: the experience at Banca d’Italia," Questioni di Economia e Finanza (Occasional Papers) 609, Bank of Italy, Economic Research and International Relations Area.
    58. Eraslan, Sercan & Götz, Thomas, 2021. "An unconventional weekly economic activity index for Germany," Economics Letters, Elsevier, vol. 204(C).
    59. Toru Kitagawa & Weining Wang & Mengshan Xu, 2024. "Policy choice in time series by empirical welfare maximization," CeMMAP working papers 27/24, Institute for Fiscal Studies.
    60. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2021. "High-Frequency Data and a Weekly Economic Index during the Pandemic," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 326-330, May.
    61. Fabian Kruger & Hendrik Plett, 2022. "Prediction intervals for economic fixed-event forecasts," Papers 2210.13562, arXiv.org, revised Mar 2024.
    62. Akos Horvath & Benjamin S. Kay & Carlo Wix, 2021. "The COVID-19 Shock and Consumer Credit: Evidence from Credit Card Data," Finance and Economics Discussion Series 2021-008, Board of Governors of the Federal Reserve System (U.S.).
    63. Rueben Ellul & Germano Ruisi, 2022. "Nowcasting the Maltese economy with a dynamic factor model," CBM Working Papers WP/02/2022, Central Bank of Malta.
    64. Baek, ChaeWon & McCrory, Peter B & Messer, Todd & Mui, Preston, 2020. "Unemployment Effects of Stay-at-Home Orders: Evidence from High Frequency Claims Data," Institute for Research on Labor and Employment, Working Paper Series qt042177j7, Institute of Industrial Relations, UC Berkeley.
    65. António Rua & Nuno Lourenço, 2020. "The DEI: tracking economic activity daily during the lockdown," Working Papers w202013, Banco de Portugal, Economics and Research Department.
    66. Sonya Georgieva, 2023. "Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 177-199.
    67. Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.

  11. Daniel J. Lewis & Karel Mertens & James H. Stock, 2020. "Tracking the COVID-19 Economy with the Weekly Economic Index (WEI)," Liberty Street Economics 20200804, Federal Reserve Bank of New York.

    Cited by:

    1. Sebastian Doerr & Leonardo Gambacorta & José María Serena Garralda, 2021. "Big data and machine learning in central banking," BIS Working Papers 930, Bank for International Settlements.
    2. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.

  12. Daniel J. Lewis, 2019. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports 891, Federal Reserve Bank of New York.

    Cited by:

    1. Klein, Mathias & Zhang, Xin, 2025. "The Inflationary Effects of Quantitative Easing," Working Paper Series 447, Sveriges Riksbank (Central Bank of Sweden).
    2. Daniel J. Lewis & Christos Makridis & Karel Mertens, 2019. "Do Monetary Policy Announcements Shift Household Expectations?," Staff Reports 897, Federal Reserve Bank of New York.
    3. Sumner, Scott, 2020. "Currency Manipulation, Saving Manipulation, and the Current Account Balance," Working Papers 07761, George Mason University, Mercatus Center.
    4. Couture, Cody, 2021. "Financial market effects of FOMC projections," Journal of Macroeconomics, Elsevier, vol. 67(C).
    5. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
    6. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    7. Mirela Miescu, 2022. "Forward guidance shocks," Working Papers 352591340, Lancaster University Management School, Economics Department.

  13. Daniel J. Lewis, 2018. "Identifying shocks via time-varying volatility," Staff Reports 871, Federal Reserve Bank of New York.

    Cited by:

    1. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    2. Daniel J. Lewis & Christos Makridis & Karel Mertens, 2019. "Do Monetary Policy Announcements Shift Household Expectations?," Staff Reports 897, Federal Reserve Bank of New York.
    3. Jonathan J. Adams & Mr. Philip Barrett, 2023. "Identifying News Shocks from Forecasts," IMF Working Papers 2023/208, International Monetary Fund.
    4. Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
    5. Jan Philipp Fritsche & Mathias Klein & Malte Rieth, 2020. "Government Spending Multipliers in (Un)certain Times," Discussion Papers of DIW Berlin 1901, DIW Berlin, German Institute for Economic Research.
    6. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2020, Bank of Finland.
    7. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
    8. Ruben Hipp, 2020. "On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity," Staff Working Papers 20-42, Bank of Canada.
    9. Olli Palm'en, 2022. "Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach," Papers 2202.10834, arXiv.org.
    10. Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
    11. Bulat Gafarov & Madina Karamysheva & Andrey Polbin & Anton Skrobotov, 2024. "Wild inference for wild SVARs with application to heteroscedasticity-based IV," Papers 2407.03265, arXiv.org, revised Nov 2024.
    12. Marek A. Dąbrowski & Łukasz Kwiatkowski & Justyna Wróblewska, 2020. "Sources of Real Exchange Rate Variability in Central and Eastern European Countries: Evidence from Structural Bayesian MSH-VAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 369-412, December.
    13. Keweloh, Sascha A. & Hetzenecker, Stephan & Seepe, Andre, 2023. "Monetary policy and information shocks in a block-recursive SVAR," Journal of International Money and Finance, Elsevier, vol. 137(C).
    14. Alfan Mansur, 2023. "Simultaneous identification of fiscal and monetary policy shocks," Empirical Economics, Springer, vol. 65(2), pages 697-728, August.
    15. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
    16. Angelini, Giovanni & Cavaliere, Giuseppe & Fanelli, Luca, 2024. "An identification and testing strategy for proxy-SVARs with weak proxies," Journal of Econometrics, Elsevier, vol. 238(2).
    17. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    18. Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024. "Identification of vector autoregressive models with nonlinear contemporaneous structure," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    19. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
    20. Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    21. Braun, Robin, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
    22. Gurdgiev, Constantin & Petrovskiy, Alexander, 2024. "Hedging and safe haven assets dynamics in developed and developing markets: Are different markets that much different?," International Review of Financial Analysis, Elsevier, vol. 92(C).
    23. Karamysheva, Madina & Skrobotov, Anton, 2022. "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    24. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
    25. Andrea Gazzani & Fabrizio Venditti & Giovanni Veronese, 2024. "Oil price shocks in real time," Temi di discussione (Economic working papers) 1448, Bank of Italy, Economic Research and International Relations Area.
    26. Emanuele Bacchiocchi & Toru Kitagawa, 2022. "Locally- but not Globally-identified SVARs," Working Papers wp1171, Dipartimento Scienze Economiche, Universita' di Bologna.
    27. Griller, Stefan & Huber, Florian & Pfarrhofer, Michael, 2024. "Financial markets and legal challenges to unconventional monetary policy," European Economic Review, Elsevier, vol. 163(C).
    28. Yohei Yamamoto & Naoko Hara, 2022. "Identifying factor‐augmented vector autoregression models via changes in shock variances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 722-745, June.
    29. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
    30. Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
    31. Andrea Carriero & Massimiliano Marcellino & Tommaso Tornese, 2023. "Blended Identification in Structural VARs," BAFFI CAREFIN Working Papers 23200, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    32. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised May 2024.
    33. Martin Bruns & Sascha A. Keweloh, 2023. "Testing for Strong Exogeneity in Proxy-VARS," University of East Anglia School of Economics Working Paper Series 2023-07, School of Economics, University of East Anglia, Norwich, UK..
    34. Mirela Miescu, 2022. "Forward guidance shocks," Working Papers 352591340, Lancaster University Management School, Economics Department.

  14. Daniel J. Lewis, 2018. "Robust inference in models identified via heteroskedasticity," Staff Reports 876, Federal Reserve Bank of New York.

    Cited by:

    1. Guzman, Jorge & Liu, Yupeng, 2019. "Short Term Credit Costs and U.S. Entrepreneurship," SocArXiv ap978, Center for Open Science.
    2. Ruben Hipp, 2020. "On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity," Staff Working Papers 20-42, Bank of Canada.
    3. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    4. Yang, Yang & Tang, Yanling & Cheng, Kai, 2023. "Spillback effects of US unconventional monetary policy," Finance Research Letters, Elsevier, vol. 53(C).
    5. Andrea Carriero & Massimiliano Marcellino & Tommaso Tornese, 2023. "Blended Identification in Structural VARs," BAFFI CAREFIN Working Papers 23200, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Marc Burri & Daniel Kaufmann, 2024. "Multi-dimensional monetary policy shocks based on heteroscedasticity," IRENE Working Papers 24-03, IRENE Institute of Economic Research.
    7. Emiliano A. Carlevaro & Leandro M. Magnusson, 2020. "The (in)stability of stock returns and monetary policy interdependence in the US," Economics Discussion / Working Papers 20-27, The University of Western Australia, Department of Economics.

Articles

  1. Daniel J. Lewis & Davide Melcangi & Laura Pilossoph & Aidan Toner‐Rodgers, 2023. "Approximating grouped fixed effects estimation via fuzzy clustering regression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1077-1084, November.
    See citations under working paper version above.
  2. Daniel J. Lewis, 2022. "Robust Inference in Models Identified via Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 104(3), pages 510-524, May.
    See citations under working paper version above.
  3. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2022. "Measuring real activity using a weekly economic index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 667-687, June.
    See citations under working paper version above.
  4. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.

    Cited by:

    1. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    2. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
    3. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
    4. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    5. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
    6. Kaicheng Chen & Timothy J. Vogelsang, 2023. "Fixed-b Asymptotics for Panel Models with Two-Way Clustering," Papers 2309.08707, arXiv.org, revised Aug 2024.
    7. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    8. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023. "Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings," Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
    9. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
    10. Chen, Kaicheng & Vogelsang, Timothy J., 2024. "Fixed-b asymptotics for panel models with two-way clustering," Journal of Econometrics, Elsevier, vol. 244(1).
    11. Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
    12. Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.

  5. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
    See citations under working paper version above.
  6. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2021. "High-Frequency Data and a Weekly Economic Index during the Pandemic," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 326-330, May.
    See citations under working paper version above.
  7. Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson, 2018. "HAR Inference: Recommendations for Practice," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 541-559, October.

    Cited by:

    1. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    2. Daniel J. Lewis & Christos Makridis & Karel Mertens, 2019. "Do Monetary Policy Announcements Shift Household Expectations?," Staff Reports 897, Federal Reserve Bank of New York.
    3. Masahiro Tanaka, 2025. "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers 2503.20249, arXiv.org.
    4. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
    5. Filip Staněk, 2023. "Optimal out‐of‐sample forecast evaluation under stationarity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2249-2279, December.
    6. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    7. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    8. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    9. David Ardia & S'ebastien Laurent & Rosnel Sessinou, 2024. "High-Dimensional Mean-Variance Spanning Tests," Papers 2403.17127, arXiv.org.
    10. Rodrigo Ad~ao & Michal Koles'ar & Eduardo Morales, 2018. "Shift-Share Designs: Theory and Inference," Papers 1806.07928, arXiv.org, revised Aug 2019.
    11. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
    12. Kurt Graden Lunsford & Kenneth D. West, 2024. "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers 24-20, Federal Reserve Bank of Cleveland.
    13. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, vol. 7(4), pages 1-28, December.
    14. Farmer, Leland E & Nakamura, Emi & Steinsson, Jón, 2024. "Learning about the Long Run," Department of Economics, Working Paper Series qt0tn1s1hp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    15. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    16. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
    17. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
    18. Filip Stanek, 2021. "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers wp712, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    19. Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
    20. Xu, Ke-Li, 2021. "On the serial correlation in multi-horizon predictive quantile regression," Economics Letters, Elsevier, vol. 200(C).
    21. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
    22. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.
    23. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    24. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2024. "High-Dimensional Granger Causality Tests with an Application to VIX and News," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 605-635.
    25. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2021. "Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling," Papers 2106.03156, arXiv.org, revised Oct 2021.
    26. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    27. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    28. Mohamed Saleh & Jean Tirole, 2021. "Taxing identity: theory and evidence from early Islam," Post-Print hal-03352999, HAL.
    29. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    30. Li, Dake & Plagborg-Møller, Mikkel & Wolf, Christian K., 2024. "Local projections vs. VARs: Lessons from thousands of DGPs," Journal of Econometrics, Elsevier, vol. 244(2).
    31. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
    32. Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
    33. Coroneo, Laura & Iacone, Fabrizio & Profumo, Fabio, 2024. "Survey density forecast comparison in small samples," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1486-1504.
    34. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora, 2024. "On Robust Inference in Time Series Regression," NBER Working Papers 32554, National Bureau of Economic Research, Inc.
    35. Michael W. McCracken & Serena Ng, 2021. "FRED-QD: A Quarterly Database for Macroeconomic Research," Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
    36. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
    37. J. Hidalgo & M. Schafgans, 2020. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Papers 2006.14409, arXiv.org.
    38. Amaze Lusompa, 2023. "Local projections, autocorrelation, and efficiency," Quantitative Economics, Econometric Society, vol. 14(4), pages 1199-1220, November.
    39. Picault, Matthieu & Pinter, Julien & Renault, Thomas, 2022. "Media sentiment on monetary policy: Determinants and relevance for inflation expectations," Journal of International Money and Finance, Elsevier, vol. 124(C).
    40. Lenard Lieb & Adam Jassem & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised Dec 2024.
    41. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    42. Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    43. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
    44. Paulo M.M. Rodrigues & João Nicolau, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
    45. Lai, Yu-Sheng, 2023. "Economic evaluation of dynamic hedging strategies using high-frequency data," Finance Research Letters, Elsevier, vol. 57(C).
    46. Kurt Graden Lunsford, 2023. "The Discrepancy Between Expenditure- and Income-Side Estimates of US Output," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(01), pages 1-7, January.
    47. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Jackknife Variance Estimator for Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    48. Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023. "Testing the predictive accuracy of COVID-19 forecasts," International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
    49. Stephen Taylor & Ming Fang, 2018. "Unbiased weighted variance and skewness estimators for overlapping returns," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-8, December.
    50. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
    51. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
    52. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.
    53. Eugene Dettaa & Endong Wang, 2024. "Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness," Papers 2410.04330, arXiv.org.
    54. Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025. "Simultaneous Inference Bands for Autocorrelations," Papers 2503.18560, arXiv.org.
    55. Ya‐Ming Liu & Chon‐Kit Ao, 2021. "Effect of air pollution on health care expenditure: Evidence from respiratory diseases," Health Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 858-875, April.
    56. Herbst, Edward P. & Johannsen, Benjamin K., 2024. "Bias in local projections," Journal of Econometrics, Elsevier, vol. 240(1).
    57. José Luis Montiel Olea & Mikkel Plagborg‐Møller, 2021. "Local Projection Inference Is Simpler and More Robust Than You Think," Econometrica, Econometric Society, vol. 89(4), pages 1789-1823, July.
    58. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    59. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
    60. Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
    61. Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
    62. Yacouba Boubacar Maïnassara & Eugen Ursu, 2023. "Estimating weak periodic vector autoregressive time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(3), pages 958-997, September.
    63. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    64. Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
    65. Kolokotrones, Thomas & Stock, James H. & Walker, Christopher D., 2024. "Is Newey–West optimal among first-order kernels?," Journal of Econometrics, Elsevier, vol. 240(2).
    66. Pellatt, Daniel F. & Sun, Yixiao, 2023. "Asymptotic F test in regressions with observations collected at high frequency over long span," Journal of Econometrics, Elsevier, vol. 235(2), pages 1281-1309.
    67. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Journal of Econometrics, Elsevier, vol. 223(1), pages 125-160.
    68. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
    69. Ulrich K. Müller & Mark W. Watson, 2020. "Low-Frequency Analysis of Economic Time Series," Working Papers 2020-13, Princeton University. Economics Department..
    70. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023. "Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings," Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
    71. Dake Li & Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Papers 2104.00655, arXiv.org, revised Jan 2024.
    72. Siddhartha Chib & Minchul Shin & Fei Tan, 2021. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Working Papers 21-02, Federal Reserve Bank of Philadelphia.
    73. Yu, Shuo, 2024. "Short-Term Impact of the Trade War on U.S. Agricultural Commodities Futures Prices," 2024 Annual Meeting, July 28-30, New Orleans, LA 344060, Agricultural and Applied Economics Association.
    74. Ashesh Rambachan & Neil Shephard, 2019. "When do common time series estimands have nonparametric causal meaning?," Papers 1903.01637, arXiv.org, revised Jan 2025.
    75. Xuexin Wang & Yixiao Sun, 2019. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Working Papers 2019-05-24, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    76. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," LSE Research Online Documents on Economics 107426, London School of Economics and Political Science, LSE Library.
    77. Rho, Seunghwa & Vogelsang, Timothy J., 2021. "Inference in time series models using smoothed-clustered standard errors," Journal of Econometrics, Elsevier, vol. 224(1), pages 113-133.
    78. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.
    79. Xiaohong Chen & Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin & Myunghyun Song, 2023. "SGMM: Stochastic Approximation to Generalized Method of Moments," Papers 2308.13564, arXiv.org, revised Oct 2023.
    80. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2022. "Fast Inference for Quantile Regression with Tens of Millions of Observations," Papers 2209.14502, arXiv.org, revised Oct 2023.
    81. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
    82. Morales, Eduardo & Adao, Rodrigo & Kolesár, Michal, 2018. "Shift-Share Designs: Theory and Inference," CEPR Discussion Papers 13118, C.E.P.R. Discussion Papers.
    83. Ulrich K. Muller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Papers 2102.09353, arXiv.org.
    84. Goodell, John W. & Gurdgiev, Constantin & Paltrinieri, Andrea & Piserà, Stefano, 2024. "Do price caps assist monetary authorities to control inflation? Examining the impact of the natural gas price cap on TTF spikes," Energy Economics, Elsevier, vol. 131(C).
    85. Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
    86. NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
    87. Jonathan Iworiso & Spyridon Vrontos, 2020. "On the directional predictability of equity premium using machine learning techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 449-469, April.
    88. Alexander Henzi & Johanna F Ziegel, 2022. "Valid sequential inference on probability forecast performance [A comparison of the ECMWF, MSC, and NCEP global ensemble prediction systems]," Biometrika, Biometrika Trust, vol. 109(3), pages 647-663.
    89. Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
    90. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    91. Giselle Montamat & James H. Stock, 2020. "Quasi-experimental estimates of the transient climate response using observational data," Climatic Change, Springer, vol. 160(3), pages 361-371, June.
    92. Daniel Lewis & Karel Mertens & James H. Stock, 2020. "U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak," NBER Working Papers 26954, National Bureau of Economic Research, Inc.
    93. Pellatt , Daniel & Sun, Yixiao, 2020. "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series qt19f0d9wz, Department of Economics, UC San Diego.
    94. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.

  8. Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson, 2018. "HAR Inference: Recommendations for Practice Rejoinder," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 574-575, October.

    Cited by:

    1. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    2. Masahiro Tanaka, 2025. "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers 2503.20249, arXiv.org.
    3. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
    4. Filip Staněk, 2023. "Optimal out‐of‐sample forecast evaluation under stationarity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2249-2279, December.
    5. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    6. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    7. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    8. David Ardia & S'ebastien Laurent & Rosnel Sessinou, 2024. "High-Dimensional Mean-Variance Spanning Tests," Papers 2403.17127, arXiv.org.
    9. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
    10. Kurt Graden Lunsford & Kenneth D. West, 2024. "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers 24-20, Federal Reserve Bank of Cleveland.
    11. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, vol. 7(4), pages 1-28, December.
    12. Farmer, Leland E & Nakamura, Emi & Steinsson, Jón, 2024. "Learning about the Long Run," Department of Economics, Working Paper Series qt0tn1s1hp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    13. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    14. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
    15. Filip Stanek, 2021. "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers wp712, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    16. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
    17. Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
    18. Xu, Ke-Li, 2021. "On the serial correlation in multi-horizon predictive quantile regression," Economics Letters, Elsevier, vol. 200(C).
    19. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
    20. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.
    21. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    22. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    23. Mohamed Saleh & Jean Tirole, 2021. "Taxing identity: theory and evidence from early Islam," Post-Print hal-03352999, HAL.
    24. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    25. Li, Dake & Plagborg-Møller, Mikkel & Wolf, Christian K., 2024. "Local projections vs. VARs: Lessons from thousands of DGPs," Journal of Econometrics, Elsevier, vol. 244(2).
    26. Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
    27. Coroneo, Laura & Iacone, Fabrizio & Profumo, Fabio, 2024. "Survey density forecast comparison in small samples," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1486-1504.
    28. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
    29. Amaze Lusompa, 2023. "Local projections, autocorrelation, and efficiency," Quantitative Economics, Econometric Society, vol. 14(4), pages 1199-1220, November.
    30. Picault, Matthieu & Pinter, Julien & Renault, Thomas, 2022. "Media sentiment on monetary policy: Determinants and relevance for inflation expectations," Journal of International Money and Finance, Elsevier, vol. 124(C).
    31. Lenard Lieb & Adam Jassem & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised Dec 2024.
    32. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    33. Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    34. Paulo M.M. Rodrigues & João Nicolau, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
    35. Lai, Yu-Sheng, 2023. "Economic evaluation of dynamic hedging strategies using high-frequency data," Finance Research Letters, Elsevier, vol. 57(C).
    36. Kurt Graden Lunsford, 2023. "The Discrepancy Between Expenditure- and Income-Side Estimates of US Output," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(01), pages 1-7, January.
    37. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Jackknife Variance Estimator for Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    38. Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023. "Testing the predictive accuracy of COVID-19 forecasts," International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
    39. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
    40. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
    41. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020. "Measuring Real Activity Using a Weekly Economic Index," Staff Reports 920, Federal Reserve Bank of New York.
    42. Eugene Dettaa & Endong Wang, 2024. "Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness," Papers 2410.04330, arXiv.org.
    43. Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025. "Simultaneous Inference Bands for Autocorrelations," Papers 2503.18560, arXiv.org.
    44. Ya‐Ming Liu & Chon‐Kit Ao, 2021. "Effect of air pollution on health care expenditure: Evidence from respiratory diseases," Health Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 858-875, April.
    45. Herbst, Edward P. & Johannsen, Benjamin K., 2024. "Bias in local projections," Journal of Econometrics, Elsevier, vol. 240(1).
    46. José Luis Montiel Olea & Mikkel Plagborg‐Møller, 2021. "Local Projection Inference Is Simpler and More Robust Than You Think," Econometrica, Econometric Society, vol. 89(4), pages 1789-1823, July.
    47. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    48. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
    49. Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
    50. Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
    51. Yacouba Boubacar Maïnassara & Eugen Ursu, 2023. "Estimating weak periodic vector autoregressive time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(3), pages 958-997, September.
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