Time series models need adapting for Covid-19 shock – ECB paper
Authors explain methods for making Phillips curves and VAR models more robust
A working paper published by the European Central Bank offers methods to adapt standard time series models to the challenges of the Covid-19 pandemic.
In The Covid-19 shock and challenges for time series models, Elena Bobeica and Benny Hartwig look at the impact of the pandemic on frequently employed modelling methods. The authors find that the pandemic causes the estimated parameters for both Phillips curves and vector autoregression to “change notably”.
They then look at means of adjusting
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