In two earlier EconMacro posts, I introduced the VAR_NR package and discussed how to estimate structural vector autoregressions with long-run, short-run, sign, and narrative restrictions. The original post,…
In two previous EconMacro posts, I presented the VAR_NR package for estimating structural vector autoregressions in Stata. The first post, Sign and Narrative Restrictions in SVAR with Stata,…
NEW PUBLICATION: This paper reviews recent advances in the measurement and macroeconomic assessment of geopolitical tensions. We first survey the growing set of quantitative indicators designed to capture…
NEW WORKING PAPER: This paper reviews recent advances in the measurement and macroeconomic assessment of geopolitical tensions. We first survey the growing set of quantitative indicators designed to…
Today, we will see how to translate the first part of the code the threshold VAR model in Balke (2000) using ChatGPT5. It took me a few hours and…
Today, allow me to share with you this wonderful blog by Eric Clower on how to estimate a SVAR with GAUSS: https://www.aptech.com/blog/estimating-svar-models-with-gauss/ You might also be interested in…
Today, let me update a previous blog of mine to show you how to retrieve the series for the impulses response functions, the forecast error variance decompositions, and…
We are delighted to earn the Scottish Journal of Political Economy Prize for the Best Paper published in 2024 for our joint research with Yifei Cai and Yanrui…
Allow me to share with this very nice blog by Felipe Camargo: https://fcamargo.substack.com/p/applied-linear-algebra-in-economics-0a7 He gives a very nice example on how to identify a shock in VAR model…
After two blogs on SVAR with RATS and on SVAR with sign restrictions with Stata, allow me to introduce the estimation of SVAR with sign restrictions using RATS…
Today, I share a video that I did for the fantastic Youtube channel of Klaus Prettner. I hope it will be useful for students and practitioners. Comments and…
In the Stata New 40-1, it is easier to have access to template do-files from the menu. In this blog, I will show how to use a program…
Last week, I noticed the publication of a new research in Energy Economics by Hakan Yilmazkuday: Geopolitical risks and energy uncertainty: Implications for global and domestic energy prices. Energy…
Estima, the company that develops and sells the RATS software, has released a new version of their online help. Notably, they incorporated the user guide version of the…
Today, let me draw your attention to two recent papers published in the Journal of Econometrics that deal with the Local Projection (LP) method introduced by Òscar Jordà…
Yesterday, I went to Corvinus University to present my paper: How do political tensions and geopolitical risks impact oil prices?, co-authored with Valérie Mignon, in the main research…
Le lundi 12 février prochain, j’aurai le grand plaisir d’animer une leçon doctorale à l’école doctorale Augustin Cournot (ED 221) — Université de Strasbourg. Risques géopolitiques, tensions politiques…
NEW PUBLICATION: This paper assesses the effect of US–China political relationships and geopolitical risks on oil prices. To this end, we consider two quantitative measures, the Political Relationship Index (PRI)…
NEW PUBLICATION: This paper employs structural vector autoregression and local projection methods to examine the impacts of the deterioration in US-China political relations on Australia-China bilateral trade. By…
I will give my first training session for Timberlake, the 26th October 2023 at 9 – 11 am BST / 10 – 12 pm CEST: www.timberlake.co.uk The short…
Today I will present you VAR_NR, a Stata module to estimate set identified Structural VAR. This toolbox has been provided by Abigail Kuchek, Jonah Danziger and Christoffer Koch. On EconPapers,…
Very honored to contribute my first guest blog post on Econbrowser. I am deeply grateful to Menzie Chinn. Remarks and comments are welcome, as always: https://econbrowser.com/
NEW WORKING PAPER: This paper assesses the effect of US-China political relationships and geopolitical risks on oil prices. To this end, we consider two quantitative measures — the…
Good news! In the new version of Stata 18, we have a new command that produces local-projection impulse–response functions. You can find the complete description of the command…
It is a great pleasure and an honor to announce that I wrote my first blog for APTECH with Eric Clower. In this blog, we will look more…
NEW PUBLICATION: It was very interesting to explore how political tensions between China and the US impact the oil market. The originality of our approach lies in the…
NEW WORKING PAPER: This paper employs structural vector autoregression and local projection methods to examine the impacts of the deterioration in US-China political relations on Australia-China bilateral trade.…
NEW WORKING PAPER: This paper aims at assessing the effects of US-China political tensions on the oil market. Relying on a quantitative measure of these relationships, we investigate…
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