Kaufmann and Pape (2025), Bayesian (non-)unique sparse factor modelling, Econometrics and Statistics, [package: sparse sampler], [sample files: simulations], [sample files: applications].

Kaufmann (2023), Covid-19 outbreak and beyond: A retrospect on the information content of short-time workers for GDP now- and forecasting, Swiss Journal of Economics and Statistics, 159, Article 2, [package].

Kaufmann and Schumacher (2019), Bayesian estimation of sparse dynamic factor models with order-independent identification, Journal of Econometrics, 210, 116-134, [package], [MCMC output (16 factors) (387MB)].

Kaufmann and Schumacher (2017), Identifying relevant and irrelevant variables in sparse factor models, Journal of Applied Econometrics 32, 1123-1144,[package]

Kaufmann (2015), K-state switching models with time-varying transition distributions - Does credit growth signal stronger effects of variables on inflation?, Journal of Econometrics 187, 82-94, [package].

Kaufmann (2010), Dating and forecasting turning points by Bayesian clustering with dynamic structure - A suggestion with an application to Austrian data, Journal of Applied Econometrics 25, 309-344, [package].

Frühwirth-Schnatter and Kaufmann (2008), Model-based clustering of multiple time series, Journal of Business & Economic Statistics 26(1), 78-89, [package], or use [package for Kaufmann (2010)].

Frühwirth-Schnatter and Kaufmann (2006), How do changes in monetary policy affect bank lending? An analysis using Austrian bank data, Journal of Applied Econometrics 21(3), 275-305, [package]

Kaufmann and Scheicher (2006), A Switching ARCH Model for the German DAX Index, Studies in Nonlinear Dynamics & Econometrics 10(4), Article 3, [package]

Kaufmann (2002), Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data, Empirical Economics 27, 277-297, [package]