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Supplementary Materials
Matlab code for replicating is available on the article website.
Acknowledgments
Presented at the JBES Session of the 2022 North American Winter Meeting of the Econometric Society. I am grateful for comments from Lutz Kilian, Toru Kitagawa, Pepe Montiel Olea, Eric Qian, and Juan Rubio- Ramírez.
Disclosure Statement
The author reports there are no competing interests to declare.
Funding
Additional information
Funding
This material is based upon work supported by the NSF under grant #1851665. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author and do not necessarily reflect the views of the NSF.