900 Dandenong RoadDepartment of Econometrics and Business Statistics, Monash Business SchoolLevel 5, Building H, Caulfield Campus, Monash UniversityCaulfield East, VIC 3145, Australia
March 22, 2023 Updated working paper (and title) A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*. The updated version now pays more careful attention to how to apply the correction using a simple ARMA model, and how the correction accounts for things like measurement error and/or model misspecification. If you are interested, I will be presenting the paper at the Virtual Time Series Seminar next week (30 March). Registration link here.
March 3, 2023 New working paper Disentangling structural breaks in high dimensional factor models
February 15, 2023 I share some thoughts on the current inflation at the CAMA blog Inflation may be finally falling, but it is not clear trend inflation has peaked
February 5, 2023 Understanding Trend Inflation Through the Lens of the Goods and Services Sector has been accepted by the Journal of Applied Econometrics. The replication files are available here.
February 3, 2023 Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic (with James Morley, Diego Rodriguez Palenzuela and Yiqiao Sun) is published at the European Economic Review. A previous version was released as ECB working paper 2716.
August 30, 2022 We are organizing the 7th Continuing Education in Macroeconometrics (CEM) workshop on Nov 7-8, 2022. Details can be found here. Please register here. CEM has a traditional of participation and developing early career researchers and PhD students, and we hope to continue in that tradition.
August 22, 2022 New working paper "Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic" available as European Central Bank working paper.
April 29, 2022 VoxEU column based on our working paper Understanding Trend Inflation Through the Lens of the Goods and Services Sector.