ERC Advanced Grant · 2022
Advances in Empirical Methods for Time Series and Forecasting in Unstable Environments
The environment we live in is both complex and time varying. Examples of recent instabilities include the recent financial crises as well as the more recent COVID-19 pandemic and the war in Ukraine, which have substantially altered our world. Currently, however, the way researchers implement forecasts as well as the way they estimate the effects of economic policies is based on methods that either impose restrictive assumptions on the nature of instabilities or quickly become computationally demanding in the presence of instabilities. This project proposes to develop a local projection-based estimator for time-varying parameter models and their impulse response functions in unstable…
From the public funding record at EU CORDIS. Describes the funded project, not the reviews below.