Heteroskedastic Structural VARs Identified via Long-run Restrictions (with Helmut Lütkepohl) | DIW Discussion Paper | UEA Working Paper
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressions (with Helmut Lütkepohl and James McNeil), Journal of Business and Economic Statistics, forthcoming | DIW Discussion Paper | UEA Working Paper| replication code
Comparing Internal and External Instruments for Vector Autoregressions (with Helmut Lütkepohl), Journal of Economic Dynamics and Control, Volume 177, 2025, 105131 | DIW Discussion Paper | UEA Working Paper
Testing for strong exogeneity in Proxy-VARs (with Sascha Keweloh ), Journal of Econometrics, Volume 245, 2024, Issue 1, 105876 | Working Paper | replication code
Tractable Bayesian Estimation of Smooth Transition Vector Autoregressive Models (with Michele Piffer), The Econometrics Journal, Volume 27, 2024, Issue 3, 343 - 361| UEA Working Paper
Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies (with Helmut Lütkepohl), Journal of Economic Dynamics and Control, Volume 161, 2024, 104837 | DIW Discussion Paper | UEA Working Paper | replication code
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions (with Helmut Lütkepohl), Economics Letters, Volume 233, 2023, 111416 | DIW Discussion Paper | UEA Working Paper | replication code
A new posterior sampler for Bayesian structural vector autoregressive models (with Michele Piffer), Quantitative Economics, 2023, 14(4), pp. 1221-1250 | DIW Discussion Paper
An Alternative Bootstrap for Proxy Vector Autoregressions (with Helmut Lütkepohl), Computational Economics, Volume 62, 2023, 1857-1882 | DIW Discussion Paper | UEA Working Paper | replication code
Comparison of Local Projection Estimators for Proxy Vector Autoregressions (with Helmut Lütkepohl), Journal of Economic Dynamics and Control, Volume 134, 2022, 104277 | DIW Discussion Paper | UEA Working Paper | replication code
Proxy Vector Autoregressions in a Data-rich Environment, Journal of Economic Dynamics and Control, Volume 123, 2021, 104046 | DIW Discussion Paper
Leading Indicators of Fiscal Distress - Evidence from Extreme Bounds Analysis (with Tigran Poghosyan), Applied Economics, Volume 50, 2018 - Issue 13 | | IMF Working Paper