Modellers should not exclude pandemic-era data – ECB paper
Excluding pandemic data from time series would “vastly underestimate uncertainty”, authors argue
A working paper published by the European Central Bank asks how economists should incorporate data recorded during the Covid-19 pandemic into their models.
In How to estimate a VAR after March 2020, Michele Lenza and Giorgio Primiceri say the question is essential for modellers. How the data is handled will affect all future samples of time-series observations, they argue.
While the authors specifically look at the implications for vector autoregression models, they say their method can easily
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