We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators structural impulse responses across thousands data generating processes, designed to mimic the properties universe U.S. macroeconomic data. Our analysis considers various identification schemes several variants LP VAR estimators. A clear bias-variance trade-off emerges: have lower bias than but sub...

Large Bayesian VARs with stochastic volatility are increasingly used in empirical macroeconomics. The key to making these highly parameterized useful is the use of shrinkage priors. We develop a family priors that captures best features two prominent classes priors: adaptive hierarchical and Minnesota Like priors, new ensure only ‘small’ coefficients strongly shrunk zero, while ‘large’ remain i...

We consider the sources of forecast errors and their consequences in an evolving economy subject to structural breaks,forecasting from mis-specified, data-based models. A model-free taxonomy of forecast errors highlights that deterministic shifts are a major cause of systematic forecast failure. Other sources seem to pose fewer problems. The taxonomy embeds several previous model-based taxonomi...

syntax tree. For example, we consider that true||b is replaced by true in the following if statement: if (true||b) i = 1; else { int j = i; } Although the new test (i.e. true) cannot evaluate to false, we still add to the graph the edge (F(β),B(γ)): however the false point of true is never reachable (see Table 4). In the presence of finally blocks the jump statements goto, continue and break br...