Bloomington, IN 47405-6620
Indiana University Bloomington - Department of Economics
Panel, High-Frequency, Time Change, Realized Variance, Fame-French
Monetary policy, DSGE model, regime switching, latent autoregressive regime factor, endogenous feedback, expectation formation eﬀects
state space model; regime switching; endogenous feedback; filtering; DSGE model
Cauchy Estimator, Instrumental Variable Autoregression, Nonlinear Instruments, Sojourn Time, Unit Root
Monetary and Fiscal Policy Interactions, Endogenous Regime Switching, Adaptive LASSO, Time-Varying Coefficient VAR, Factor Augmented VAR
State Space Models With Endogenous Regime Switching
Inflation expectations, household survey, functional autoregression, transmission of economic shocks, heterogeneous beliefs, inflation expectation, expansionary government spending shock, inflation distribution, monetary policy shock, gasoline price shock, Inflation, Fuel prices, Personal income tax, Income shocks
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high frequency regression, spurious regression, continuous time model, asymptotics, longrun variance estimation
oil price volatility, endogenous regime switching, expected inflation, inflation anchoring
oil price volatility, endogenous regime switching, expected inﬂation, inﬂation anchoring
DSGE, uncertainty, financial friction, expectation, endogenous regime switching
Nonlinear regressions, Integrated time series, Nonlinear least squares, Brownian motion, Brownian local time
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