We develop a flexible simulation-based optimization (SBO) method for the construction of optimal portfolios including hedge funds and other types of alternative investments. This method takes into account the skew and kurtosis of asset returns, the time series structure of asset returns, and the asymmetric nature of investor preferences for gains versus losses. Johnson (1949) translation is use...

From Bayesian estimates of a vector autoregression (VAR) which allows for both coefficient drift and stochastic volatility, we obtain the following three results. First, beginning in approximately 1975, the responsiveness of core inflation to changes in energy prices in the United States fell rapidly and remains muted. Second, this decline in the passthrough of energy inflation to core prices h...

Multivariate count models are rare in political science, despite the presence of many count time series. This article develops a new Bayesian Poisson vector autoregression (BaP-VAR) model that can characterize endogenous dynamic counts with no restrictions on the contemporaneous correlations. Impulse responses, decomposition of the forecast errors, and dynamic multiplier methods for the effects...

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...

In this article, we study the impact of demographic changes on inequality between capital and labor incomes. More precisely, analyze exogenous in both rate natural increase net migration income as a share total income. We estimate structural vector autoregression (VAR) model panel 18 OECD countries with annual data for 1985–2018. find that response to an change is significantly negative few yea...


 Unemployment is an important macroeconomic issue both in theoretical terms and for economic reality. On the ground, unemployment rate, which a measure of share unemployed units labour supply economy, determines output gap at certain adjustment parameter determined by marginal productivity labour. One causes rising or persistent economy phenomenon hysteresis, occurs as result changes disu...

It is often unclear whether time series displaying substantial persistence should be modelled as a vector autoregression in levels (perhaps with a trend term) or in differences. The impact of this decision on inference is examined here using Monte Carlo simulation. In particular, the size and power of variable inclusion (Granger causality) tests and the coverage of impulse response function con...

Previous research considered the impacts of fiscal policy on economic activity in Spain using Vector autoregression (VAR) models. In this paper, we contribute to existing literature by making use autoregressive distributed lag estimation procedures that present significant advantages over VAR alternative. Our econometric methodology is data-driven, and it allows us select statistical model best...