Central bank research hub - Papers by Daniel F. Waggoner
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Research hub papers by author Daniel F. WaggonerenInference in Bayesian Proxy-SVARs
https://philadelphiafed.org/-/media/research-and-data/publications/working-papers/2018/wp18-25.pdf
Federal Reserve Bank of Philadelphia Working Papers by Jonas E. Arias, Juan F. Rubio-Ramirez and Daniel F. WaggonerInference in Bayesian Proxy-SVARs2018-11-05T00:00:00ZMotivated by the increasing use of external instruments to identify structural vector autoregressions SVARs), we develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy SVARs. Our algorithms make independent draws from the normal-generalized-normal family of conjugate posterior distributions over the structural parameterization of a proxy-SVAR. Importantly, our techniques can handle the case of set identification and hence they can be used to relax the additional exclusion restrictions unrelated to the external instruments often imposed to facilitate inference when more than one instrument is used to identify more than one equation as in Mertens and Montiel-Olea (2018).Inference in Bayesian Proxy-SVARsFull texthttps://philadelphiafed.org/-/media/research-and-data/publications/working-papers/2018/wp18-25.pdfDaniel F. WaggonerJuan Francisco Rubio-RamírezJonas E. AriasJonas E. Arias, Juan F. Rubio-Ramirez and Daniel F. Waggoner2018-11-05Federal Reserve Bank of Philadelphia Working PapersC15C32Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China
https://www.frbatlanta.org/-/media/documents/research/publications/wp/2016/09a-china-pro-growth-monetary-policy-and-its-asymmetric-transmission-2017-10-12.pdf
Atlanta Fed Working papers by Kaiji Chen, Daniel F. Waggoner, Patrick C. Higgins and Tao ZhaImpacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China2016-09-01T00:00:00ZWe develop a new empirical framework to identify and estimate the effects of monetary stimulus on the real economy. The framework is applied to the Chinese economy when monetary policy in normal times was switched to an extraordinarily expansionary regime to combat the impact of the 2008 financial crisis. We show that this unprecedented monetary stimulus accounted for as high as a 4 percent increase of real gross domestic product (GDP) growth rate by the end of 2009. Monetary transmission to the real economy was through bank credit allocated disproportionately to financing investment in real estate and heavy industries. Such an asymmetric credit allocation resulted in the persistently high investment rate and debt-to-GDP ratio. Our findings provide a broad perspective on a tradeoff between short-run GDP growth and longer-run accumulated debt in response to large monetary interventions.Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from ChinaFull texthttps://www.frbatlanta.org/-/media/documents/research/publications/wp/2016/09a-china-pro-growth-monetary-policy-and-its-asymmetric-transmission-2017-10-12.pdfDaniel F. WaggonerTao ZhaKaiji ChenPatrick C. HigginsKaiji Chen, Daniel F. Waggoner, Patrick C. Higgins and Tao Zha2016-09-01Federal Reserve Bank of Atlanta Working PapersC13C3E02E5Trends and cycles in China's macroeconomy
https://www.frbatlanta.org/-/media/Documents/research/publications/wp/2015/wp1505.pdf?la=en
Atlanta Fed Working papers by Chun Chang, Kaiji Chen, Daniel F. Waggoner and Tao ZhaTrends and cycles in China's macroeconomy2015-06-01T00:00:00ZWe make four contributions in this paper. First, we provide a core of macroeconomic time series usable for systematic research on China. Second, we document, through various empirical methods, the robust findings about striking patterns of trend and cycle. Third, we build a theoretical model that accounts for these facts. Fourth, the model's mechanism and assumptions are corroborated by institutional details, disaggregated data, and banking time series, all of which are distinctive Chinese characteristics. We argue that preferential credit policy for promoting heavy industries accounts for the unusual cyclical patterns as well as the post-1990s economic transition featured by the persistently rising investment rate, the declining labor income share, and a growing foreign surplus. The departure of our theoretical model from standard ones offers a constructive framework for studying China's modern macroeconomy.Trends and cycles in China's macroeconomyFull texthttps://www.frbatlanta.org/-/media/Documents/research/publications/wp/2015/wp1505.pdf?la=enDaniel F. WaggonerTao ZhaKaiji ChenChun ChangChun Chang, Kaiji Chen, Daniel F. Waggoner and Tao Zha2015-06-01Federal Reserve Bank of Atlanta Working PapersE2E3E5F4G1Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
http://www.federalreserve.gov/pubs/ifdp/2014/1100/ifdp1100.pdf
Board of Governors of the Federal Reserve System International Financial Discussion Papers by Jonas E. Arias, Juan F. Rubio-Ramirez, and Daniel F. WaggonerInference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications2014-04-03T06:19:59ZAre optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive and definite in both cases. While the identification of SVARs with sign and zero restrictions is theoretically attractive because it allows the researcher to remain agnostic with respect to the responses of the key variables of interest, we show that current implementation of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions on variables that are seemingly unrestricted that bias the results and produce misleading confidence intervals. We provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not only correct but also faster than current ones.Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and ApplicationsAbstracthttp://www.federalreserve.gov/pubs/ifdp/2014/1100/default.htmFull texthttp://www.federalreserve.gov/pubs/ifdp/2014/1100/ifdp1100.pdfJuan Francisco Rubio-RamírezDaniel F. WaggonerJonas E. AriasJonas E. Arias, Juan F. Rubio-Ramirez, and Daniel F. Waggoner2014-03-31Board of Governors of the Federal Reserve System International Financial Discussion PapersE1Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
http://www.frbatlanta.org/documents/pubs/wp/wp1401.pdf
Atlanta Fed Working papers by Jonas E. Arias, Juan F. Rubio-Ramirez, and Daniel F. WaggonerInference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications2014-02-14T17:34:00ZAre optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using structural vector autoregressions (SVAR) identified with sign and zero restrictions and the answers have been positive and definite in both cases. Although the identification of SVARs with sign and zero restrictions is theoretically attractive because it allows the researcher to remain agnostic with respect to the responses of the key variables of interest, we show that current implementation of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions on variables that are seemingly unrestricted that bias the results and produce misleading confidence intervals. We provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not only correct but also faster than current ones.Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and ApplicationsAbstracthttp://www.frbatlanta.org//pubs/wp/14_01.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1401.pdfJuan Francisco Rubio-RamírezDaniel F. WaggonerJonas E. AriasJonas E. Arias, Juan F. Rubio-Ramirez, and Daniel F. Waggoner2014-02-10Federal Reserve Bank of Atlanta Working PapersPerturbation Methods for Markov-Switching DSGE Models
http://www.frbatlanta.org/documents/pubs/wp/wp1301.pdf
Atlanta Fed Working papers by Andrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao ZhaPerturbation Methods for Markov-Switching DSGE Models2013-03-21T06:23:59ZThis paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well defined. With this definition, we show that the problem of finding an approximation of any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in searching all the solutions to the quadratic system. This approach allows us to obtain all the approximations and ascertain how many of them are stable. Our methodology is applied to three models to illustrate its feasibility and practicality.Perturbation Methods for Markov-Switching DSGE ModelsAbstracthttp://www.frbatlanta.org//pubs/wp/13_01.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1301.pdfDaniel F. WaggonerAndrew FoersterTao ZhaJuan Rubio-RamírezAndrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao Zha2013-03-18Federal Reserve Bank of Atlanta Working PapersConfronting Model Misspecification in Macroeconomics
http://www.frbatlanta.org/pubs/wp/working_paper_2010-18.cfm
Atlanta Fed Working papers by Daniel Waggoner and Tao ZhaConfronting Model Misspecification in Macroeconomics2010-12-22T17:38:59ZDaniel Waggoner and Tao Zha. The authors propose a framework for merging multiple models, incorporating uncertainty about both models and parameters. Their merged model alters the inferences about structural parameters and impulse responses.Confronting Model Misspecification in MacroeconomicsAbstracthttp://www.frbatlanta.org/pubs/wp/working_paper_2010-18.cfmTao ZhaDaniel F. WaggonerDaniel Waggoner and Tao Zha2010-12-22Federal Reserve Bank of Atlanta Working PapersDensity-Conditional Forecasts in Dynamic Multivariate Models
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp247.pdf
Sveriges Riksbank Working Papers by Michael K. Anderssony, Stefan Palmqvistz, and Daniel F. WaggonerxDensity-Conditional Forecasts in Dynamic Multivariate Models2010-10-06T12:39:00ZWhen generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore proposes a generalization such that the conditions can be given as the full distribution of the restricted variables. We demonstrate, in two empirical applications, that ignoring the uncertainty about the conditions implies that the distributions of the unrestricted variables are too narrow.Density-Conditional Forecasts in Dynamic Multivariate ModelsAbstracthttp://www.riksbank.com/templates/Page.aspx?id=45053Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp247.pdfMichael K. AnderssonDaniel F. WaggonerStefan PalmqvistMichael K. Anderssony, Stefan Palmqvistz, and Daniel F. Waggonerx2010-10-06Sveriges Riksbank Working PapersUnderstanding Markov-Switching Rational Expectations Models
http://www.frbatlanta.org/filelegacydocs/wp0905.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaUnderstanding Markov-Switching Rational Expectations Models2009-03-24T17:38:59ZWe develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov switching with forward-looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region.Understanding Markov-Switching Rational Expectations ModelsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=0FC7FC9A-5056-9F12-1271FFA4DFFAB9DC&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0905.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2009-03Federal Reserve Bank of Atlanta Working PapersSources of the Great Moderation: Shocks, Frictions, or Monetary Policy?
http://www.frbatlanta.org/filelegacydocs/wp0903.pdf
Atlanta Fed Working papers by Zheng Liu, Daniel F. Waggoner, and Tao ZhaSources of the Great Moderation: Shocks, Frictions, or Monetary Policy?2009-02-17T17:40:59ZWe study the sources of the Great Moderation by estimating a variety of medium-scale dynamic stochastic general equilibrium (DSGE) models that incorporate regime switches in shock variances and the inflation target. The best-fit model¿the one with two regimes in shock variances¿gives quantitatively different dynamics compared with the benchmark constant-parameter model. Our estimates show that three kinds of shocks accounted for most of the Great Moderation and business-cycle fluctuations: capital depreciation shocks, neutral technology shocks, and wage markup shocks. In contrast to the existing literature, we find that changes in the inflation target or shocks in the investment-specific technology played little role in macroeconomic volatility. Moreover, our estimates indicate considerably fewer nominal rigidities than the literature suggests.Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?Abstracthttp://www.frbatlanta.org/invoke.cfm?objectid=5BA8B203-5056-9F12-12BE86FC62218A82&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0903.pdfTao ZhaDaniel F. WaggonerZheng LiuZheng Liu, Daniel F. Waggoner, and Tao Zha2009-02Federal Reserve Bank of Atlanta Working PapersSources of the Great Moderation: Shocks, Friction, or Monetary Policy?
http://www.frbsf.org/publications/economics/papers/2009/wp09-01bk.pdf
San Francisco Fed Working Papers by Liu, Waggoner, ZhaSources of the Great Moderation: Shocks, Friction, or Monetary Policy?2009-01-31T07:18:00ZWe study the sources of the Great Moderation by estimating a variety of medium-scale DSGE models that incorporate regime switches in shock variances and in the inflation target. The best-fit model, the one with two regimes in shock variances, gives quantitatively different dynamics in comparison with the benchmark constant-parameter model. Our estimates show that three kinds of shocks accounted for most of the Great Moderation and business-cycle fluctuations: capital depreciation shocks, neutral technology shocks, and wage markup shocks. In contrast to the existing literature, we find that changes in the inflation target or shocks in the investment-specific technology played little role in macroeconomic volatility. Moreover, our estimates indicate much less nominal rigidities than those suggested in the literature.Sources of the Great Moderation: Shocks, Friction, or Monetary Policy?Full texthttp://www.frbsf.org/publications/economics/papers/2009/wp09-01bk.pdfDaniel F. WaggonerTao ZhaZheng LiuLiu, Waggoner, Zha2009-01Federal Reserve Bank of San Francisco Working PapersE32E42E52Asymmetric Expectation Effects of Regime Shifts in Monetary Policy
http://www.frbsf.org/publications/economics/papers/2008/wp08-22bk.pdf
San Francisco Fed Working Papers by Liu, Waggoner, ZhaAsymmetric Expectation Effects of Regime Shifts in Monetary Policy2008-10-08T07:16:59ZThis paper addresses two substantive issues: (1) Does the magnitude of the expectation effect of regime switching in monetary policy depend on a particular policy regime? (2) Under which regime is the expectation effect quantitatively important? Using two canonical DSGE models, we show that there exists asymmetry in the expectation effect across regimes. The expectation effect under the dovish policy regime is quantitatively more important than that under the hawkish regime. These results suggest that the possibility of regime shifts in monetary policy can have important effects on rational agents' expectation formation and on equilibrium dynamics. They offer a theoretical explanation for the empirical possibility that a policy shift from the dovish regime to the hawkish regime may not be the main source of substantial reductions in the volatilities of inflation and output.Asymmetric Expectation Effects of Regime Shifts in Monetary PolicyFull texthttp://www.frbsf.org/publications/economics/papers/2008/wp08-22bk.pdfDaniel F. WaggonerTao ZhaZheng LiuLiu, Waggoner, Zha2008-09Federal Reserve Bank of San Francisco Working PapersE32E42E52Minimal State Variable Solutions to Markov-Switching Rational Expectations Models
http://www.frbatlanta.org/filelegacydocs/wp0823.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaMinimal State Variable Solutions to Markov-Switching Rational Expectations Models2008-10-03T07:14:59ZMinimal State Variable Solutions to Markov-Switching Rational Expectations ModelsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=BE917AE1-5056-9F12-12911814A649E9DA&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0823.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2008-10Federal Reserve Bank of Atlanta Working PapersGeneralizing the Taylor Principle: Comment
http://www.frbatlanta.org/filelegacydocs/wp0819.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaGeneralizing the Taylor Principle: Comment2008-09-22T17:38:59ZGeneralizing the Taylor Principle: CommentAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=57D5B9FB-5056-9F12-12ADB837A622DB9E&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0819.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2008-09Federal Reserve Bank of Atlanta Working PapersStructural Vector Autoregressions: Theory of Identification and Algorithms for Inference
http://www.frbatlanta.org/filelegacydocs/wp0818.pdf
Atlanta Fed Working papers by Juan F. Rubio-Ramírez, Daniel F.Waggoner, and Tao ZhaStructural Vector Autoregressions: Theory of Identification and Algorithms for Inference2008-09-22T17:38:59ZStructural Vector Autoregressions: Theory of Identification and Algorithms for InferenceAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=5741CC78-5056-9F12-1294FCF0E51F4702&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0818.pdfTao ZhaJuan Francisco Rubio-RamírezDaniel F. WaggonerJuan F. Rubio-Ramírez, Daniel F.Waggoner, and Tao Zha2008-09Federal Reserve Bank of Atlanta Working PapersAsymmetric Expectation Effects of Regime Shifts and the Great Moderation
http://www.frbatlanta.org/filelegacydocs/wp0723.pdf
Atlanta Fed Working papers by Zheng Liu, Daniel F. Waggoner, and Tao ZhaAsymmetric Expectation Effects of Regime Shifts and the Great Moderation2007-10-10T07:12:59ZAsymmetric Expectation Effects of Regime Shifts and the Great ModerationAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=7149F25C-5056-9F12-126A5CCAF9EF11D1&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0723.pdfTao ZhaDaniel F. WaggonerZheng LiuZheng Liu, Daniel F. Waggoner, and Tao Zha2007-10Federal Reserve Bank of Atlanta Working PapersAsymmetric Expectation Effects of Regime Shifts and the Great Moderation
http://www.minneapolisfed.org/research/WP/WP653.pdf
Minneapolis Fed Working Papers by Zheng Liu, Daniel F. Waggoner, and Tao ZhaAsymmetric Expectation Effects of Regime Shifts and the Great Moderation2007-07-13T17:36:00ZWe assess the quantitative importance of the expectation effects of regime shifts in monetary policy in a DSGE model that allows the monetary policy rule to switch between a ¿bad¿ regime and a ¿good¿ regime. When agents take into account such regime shifts in forming expectations, the expectation effect is asymmetric across regimes. In the good regime, the expectation effect is small despite agents¿ disbelief that the regime will last forever. In the bad regime, however, the expectation effect on equilibrium dynamics of inflation and output is quantitatively important, even if agents put a small probability that monetary policy will switch to the good regime. Although the expectation effect dampens aggregate fluctuations in the bad regime, a switch from the bad regime to the good regime can still substantially reduce the volatility of both inflation and output, provided that we allow some ¿reduced-form¿ parameters in the private sector to change with monetary policy regime. Much of the volatility reduction is attributed to a structural break in the persistence of equilibrium dynamics of macroeconomic variables.Asymmetric Expectation Effects of Regime Shifts and the Great ModerationAbstracthttp://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=1094Full texthttp://www.minneapolisfed.org/research/WP/WP653.pdfTao ZhaDaniel F. WaggonerZheng LiuZheng Liu, Daniel F. Waggoner, and Tao Zha2007-07Federal Reserve Bank of Minneapolis Working PapersUnderstanding the New Keynesian Model When Monetary Policy Switches Regimes
http://www.frbatlanta.org/filelegacydocs/wp0712.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaUnderstanding the New Keynesian Model When Monetary Policy Switches Regimes2007-07-03T19:00:59ZUnderstanding the New Keynesian Model When Monetary Policy Switches RegimesAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=6D6980F0-5056-9F12-1250D7154503D094&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0712.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2007-07Federal Reserve Bank of Atlanta Working PapersMethods for Inference in Large Multiple-Equation Markov-Switching Models
http://www.frbatlanta.org/filelegacydocs/wp0622.pdf
Atlanta Fed Working papers by Christopher A. Sims, Daniel F. Waggoner, and Tao ZhaMethods for Inference in Large Multiple-Equation Markov-Switching Models2006-11-28T07:14:59ZMethods for Inference in Large Multiple-Equation Markov-Switching ModelsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=0B83D431-5056-9F12-12248269A5527231&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0622.pdfTao ZhaDaniel F. WaggonerChristopher A. SimsChristopher A. Sims, Daniel F. Waggoner, and Tao Zha2006-11Federal Reserve Bank of Atlanta Working PapersIndeterminacy in a Forward-Looking Regime-Switching Model
http://www.frbatlanta.org/filelegacydocs/wp0619.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaIndeterminacy in a Forward-Looking Regime-Switching Model2006-11-14T07:12:00ZIndeterminacy in a Forward-Looking Regime-Switching ModelAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=E1D6ACEE-5056-9F12-1252B6299ECE9449&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0619.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2006-11Federal Reserve Bank of Atlanta Working PapersTransparency, Expectations, and Forecasts
http://www.frbatlanta.org/filelegacydocs/wp0603.pdf
Atlanta Fed Working papers by Andrew Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, and Tao ZhaTransparency, Expectations, and Forecasts2006-04-18T09:11:00ZTransparency, Expectations, and ForecastsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=1E6AA286-5056-9F06-998F5420DDF306DC&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0603.pdfTao ZhaDaniel F. WaggonerRobert A. EisenbeisAndrew BauerAndrew Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, and Tao Zha2006-04Federal Reserve Bank of Atlanta Working PapersMarkov-Switching Structural Vector Autoregressions: Theory and Application
http://www.frbatlanta.org/filelegacydocs/wp0527.pdf
Atlanta Fed Working papers by Juan Francisco Rubio-Ramírez, Daniel Waggoner, and Tao ZhaMarkov-Switching Structural Vector Autoregressions: Theory and Application2005-12-02T07:08:59ZMarkov-Switching Structural Vector Autoregressions: Theory and ApplicationAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=E2C9338C-5056-9F06-9928665D5F4A2A5F&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0527.pdfJuan Francisco Rubio-RamírezTao ZhaDaniel F. WaggonerJuan Francisco Rubio-Ramírez, Daniel Waggoner, and Tao Zha2005-12Federal Reserve Bank of Atlanta Working PapersC32E10Normalization in Econometrics
http://www.frbatlanta.org/filelegacydocs/wp0413.pdf
Atlanta Fed Working papers by James D. Hamilton, Daniel F. Waggoner, and Tao ZhaNormalization in Econometrics2004-06-25T07:08:59ZNormalization in EconometricsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=56EFD87A-F2BE-27A5-0879031B9CF77C13&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0413.pdfJames D. HamiltonTao ZhaDaniel F. WaggonerJames D. Hamilton, Daniel F. Waggoner, and Tao Zha2004-06Federal Reserve Bank of Atlanta Working PapersC1Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach
http://www.frbatlanta.org/filelegacydocs/wp0208a.pdf
Atlanta Fed Working papers by Robert Eisenbeis, Daniel Waggoner, and Tao ZhaEvaluating Wall Street Journal Survey Forecasters: A Multivariate Approach2003-01-31T17:58:00ZEvaluating Wall Street Journal Survey Forecasters: A Multivariate ApproachAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=44C19443-B081-4391-9E5A126AF1B12948&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0208a.pdfTao ZhaRobert A. EisenbeisDaniel F. WaggonerRobert Eisenbeis, Daniel Waggoner, and Tao Zha2002-07Federal Reserve Bank of Atlanta Working PapersC53