NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

Frank Schorfheide, Dongho Song, Amir Yaron

NBER Working Paper No. 20303
Issued in July 2014

---- Acknowledgments ----

We thank Bent J. Christensen, Frank Diebold, Emily Fox, Ivan Shaliastovich, Neil Shephard, Minchul Shin, and seminar participants at the 2013 SED Meetings, the 2013 SBIES Meetings, the 2014 AEA Meetings, the 2014 Aarhus Macro-Finance Symposium, the Board of Governors, the European Central Bank, Universite de Toulouse, and the University of Pennsylvania for helpful comments and discussions. Schorfheide gratefully acknowledges financial support from the National Science Foundation under Grant SES 1061725. Yaron thanks the Rodney White Center for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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