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New version of paper
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mikkelpm committed Sep 28, 2023
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## Acknowledgements
We rely on BVAR code by [Domenico Giannone, Michele Lenza & Giorgio Primiceri](http://faculty.wcas.northwestern.edu/gep575/GLPreplicationWeb.zip), penalized LP code by [Regis Barnichon & Christian Brownlees](https://drive.google.com/drive/folders/1Fjzw-U3hjIl467KXywRqeQod2jdHOmDo?usp=sharing), as well as VAR model averaging code by [Bruce Hansen](https://www.ssc.wisc.edu/~bhansen/progs/var.html). We have slightly modified these sets of code to improve their run-time without affecting their numerical output. We also use Dynamic Factor Model code and data by [Eben Lazarus, Daniel Lewis, Jim Stock & Mark Watson](http://www.princeton.edu/~mwatson/ddisk/LLSW_ReplicationFiles_071418.zip).

Plagborg-M{\o}ller acknowledges that this material is based upon work supported by the NSF under Grant {\#}2238049, and Wolf does the same for Grant {\#}2314736.
Plagborg-Møller acknowledges that this material is based upon work supported by the NSF under [Grant #2238049](https://www.nsf.gov/awardsearch/showAward?AWD_ID=2238049), and Wolf does the same for [Grant #2314736](https://www.nsf.gov/awardsearch/showAward?AWD_ID=2314736).

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