Hess Chung, Cristina Fuentes-Albero, Matthias Paustian, and Damjan Pfajfar | This paper advocates chaining the decomposition of shocks into contributions from forecast errors to the shock decomposition of the latent…
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Friday, December 4, 2020
FEDS 2020-100: Latent Variables Analysis in Structural Models: A New Decomposition of the Kalman Smoother
Hess Chung, Cristina Fuentes-Albero, Matthias Paustian, and Damjan Pfajfar | This paper advocates chaining the decomposition of shocks into contributions from forecast errors to the shock decomposition of the latent…
Read More
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