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.