Recent Papers

Recent Research Papers
Pablo Guerron-Quintana, Atsushi Inoue and Lutz Kilian, “Impulse Response Matching Estimators for DSGE Models.”

Atsushi Inoue and Barbara Rossi, “Tests for the Validity of Portfolio and Group Choice in Financial and Panel Regressions.”

Atsushi Inoue and Lutz Kilian, “Joint Confidence Sets for Structural Impulse Responses”

Atsushi Inoue “Comment on Francis X. Diebold’s “Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests”, Journal of Business and Economics Statistics, 33, 9-11, 2015.

Atsushi Inoue, Chun-Hung Kuo and Barbara Rossi, “Identifying the Sources of Model Misspecification.”

Emily Anderson, Atsushi Inoue, and Barbara Rossi, “Heterogeneous Consumers and Fiscal Policy Shocks.”

Atsushi Inoue, Lu Jin and Barbara Rossi, “Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters.”

Atsushi Inoue and Mototsugu Shintani, Quasi-Bayesian Model Selection

Yasuo Hirose and Atsushi Inoue, The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model, accepted for publication in the Journal of Applied Econometrics.

Xu Han and Atsushi Inoue, “Tests for Parameter Stability in Dynamic Factor Models,” accepted for publication in Econometric Theory, 31, 2015.

Atsushi Inoue and Lutz Kilian, “Inference on Impulse Response Functions in Structural VAR Models,” Journal of Econometrics, 177, 1-13, 2013

fortran code for partially identified models

matlab code for fully identified models (March 2015 version. we thank Jonas Arias for finding the errors in the previous version of the code)

Pablo Guerron-Quintana, Atsushi Inoue and Lutz Kilian, “Frequentist Inference in Weakly Identified DSGE Models,” Quantitative Economics, 4, 197-229, 2013. Online Appendix.

Atsushi Inoue, “Mean-Plus-Noise Factor Models: An Empirical Exploration,”Japanese Economic Review, 63, 289-309, 2012.

Atsushi Inoue, Barbara Rossi and Lu Jin, “Consistent Model Selection Over Rolling Windows,” in N.R. Swanson and X. Chen eds., Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis, Springer: New York, pp.299-330, 2012.

Barbara Rossi and Atsushi Inoue “Out-of-Sample Forecast Test Robust to the Window Size Choice,”Journal of Business and Economic Statistics, 30, 432-453, 2012.

Alastair Hall, Atsushi Inoue, Jim Nason and Barbara Rossi “Information Criteria for Impulse Response Function Matching Estimation of DSGE Models,Journal of Econometrics, 170, 499-518, 2012. (Codes and Data).

Atsushi Inoue and Barbara Rossi “Testing for Identification in Possibly Nonlinear Models,” Journal of Econometrics, 161, 246-261, 2011.

Atsushi Inoue and Barbara Rossi “Which Structural Parameters Are “Structural”? Identifying the Sources of Instabilities in Economic Models,” Review of Economics and Statistics, 93, 1186-1204, 2011.

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