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Bergholt, Canova, Furlanetto, Maffei-Faccioli and Ulvedal are wrong about historical shock decompositions

In their working paper, Bergholt et. al (2024) (hence “Authors”) illustrate that due to the estimation uncertainty of the constant (or in general all exogenous) term the historical decompositions built around such constant terms are prone to large quantitative and qualitative variation making them unreliable for inferential purposes. In this post I will briefly note…