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Sylvia Kaufmann
Packages
Some early packages contain old matlab code!
Neither my co-authors nor I do assume any
responsibilities for results produced with available codes.
Please let me know, if you find any bugs.
Kaufmann and Pape (2025), Bayesian (non-)unique sparse
factor modelling, Econometrics and Statistics, [package: sparse sampler],
[sample files: simulations],
[sample files: applications].
Kaufmann (2023), Covid-19 outbreak and beyond:
A retrospect on the information content of short-time workers for GDP now-
and forecasting, Swiss Journal of Economics and Statistics, 159,
Article 2, [package].
Kaufmann and Schumacher (2019), Bayesian estimation of sparse
dynamic factor models with order-independent identification, Journal
of Econometrics,
210, 116-134, [package], [MCMC output (16 factors)
(387MB)], [update].
Kaufmann and Schumacher (2017), Identifying
relevant and irrelevant variables in sparse factor models, Journal of Applied Econometrics 32,
1123-1144,[package]
Kaufmann (2015), K-state switching models with
time-varying transition distributions - Does credit growth signal stronger
effects of variables on inflation?, Journal of Econometrics 187, 82-94,
[package].
Kaufmann (2010), Dating and forecasting turning points
by Bayesian clustering with dynamic structure - A suggestion with an
application to Austrian data, Journal of Applied Econometrics 25, 309-344, [package].
Frühwirth-Schnatter and Kaufmann (2008), Model-based clustering of
multiple time series, Journal of Business & Economic
Statistics
26(1), 78-89, [package], or
use [package for Kaufmann 2010].
Frühwirth-Schnatter and Kaufmann (2006), How do changes in monetary policy
affect bank lending? An analysis using Austrian bank data, Journal
of Applied Econometrics
21(3), 275-305, [package]
Kaufmann and Scheicher
(2006), A Switching ARCH Model for the
German DAX Index, Studies in Nonlinear Dynamics &
Econometrics
10(4), Article 3, [package]
Kaufmann (2002), Is there an asymmetric effect of
monetary policy over time? A Bayesian analysis using Austrian data, Empirical
Economics
27, 277-297, [package]
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