StarTime applies a temporal tree to enable sparse or aggregated coefficient selection in high-order autoregressions and mixed-frequency regressions, with new error bounds and better simulation performance than benchmarks.
The Quarterly Journal of Economics , volume=
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Media sentiment indicators from Canadian news, when added to a New Keynesian model with endogenous central-bank response, improve out-of-sample forecasts and account for part of monetary-policy propagation to output and prices.
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Sparse Tree-Based Aggregation for Time Series Regressions
StarTime applies a temporal tree to enable sparse or aggregated coefficient selection in high-order autoregressions and mixed-frequency regressions, with new error bounds and better simulation performance than benchmarks.
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Monetary Policy in the Media Spotlight: Sentiments, Signals, and Economic Impact
Media sentiment indicators from Canadian news, when added to a New Keynesian model with endogenous central-bank response, improve out-of-sample forecasts and account for part of monetary-policy propagation to output and prices.