Research

Published Papers

“An Analytical Evaluation of the power of tests for the absence of cointegration”, Journal of Econometrics, vol. 122, No. 2, October 2004, pp. 349-384.
Abstract | Working Paper | Paper

“Optimal Power for Testing Potential Cointegrating Vectors with known parameters for Nonstationarity” (with Graham Elliott and Michael Jansson), Journal of Business & Economic Statistics, Vol. 23, No. 1, January 2005, pp.34-48.
Abstract | Paper

“The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment” (with Ana Maria Herrera), Journal of Business & Economic Statistics, Vol. 23, No. 4 , October 2005, pp.462-472.
Code: Gauss .
Abstract | Paper

“Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure”, (with Barbara Rossi), Macroeconomic Dynamics, Vol. 9, No. 4, September 2005, pp. 478-488.
Code: Gauss .
Abstract | Paper

“On the Failure of PPP for Bilateral Exchange Rates After 1973”, (with Graham Elliott), Journal of Money, Credit, and Banking, Vol. 38, No. 6 , October 2006, pp.1405-1430.
Abstract | Paper

“Small sample confidence intervals for multivariate IRFs at long horizons”, (with Barbara Rossi), Journal of Applied Econometrics, Vol.21, No.8, December 2006, pp.1135-1155.
Abstract | Paper | Additional Appendix

“Residuals Based Tests for the Null of No Cointegration: an Analytical Comparison”, Journal of Time Series Analysis, Vol.28, No.1, January 2007, pp.111-137.
Abstract | Paper

“Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?” (formely “Univariate Impulse Response Functions with a Possible Unit Root: A Monte Carlo comparison at Long Horizons.”) (with Barbara Rossi), Journal of Economic Dynamics and Control , Vol.31, No.7, July 2007, pp.2398-2412.
Code: Univariate (Matlab)
Abstract | Paper

“The Comovement in Inventories and in Sales: Higher and Higher” (with Ana Maria Herrera and Irina Murtazashvili) Economics Letters, Vol.99, No.1, April 2008, pp.155-158.
Abstract| Paper

“Oil Price Shocks, Systematic Monetary Policy and the “Great Moderation”” (with Ana Maria Herrera), Macroeconomic Dynamics, Vol.13, No.1, February 2009, pp.107-137.
Abstract | Paper

“Testing the null of no cointegration when covariates are known to have a unit root” (with Graham Elliott), Econometric Theory, Vol 25, No. 6, December 2009, pp. 1829-1850.
Abstract| Paper

“Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks” (with Nikolay Gospodinov and Alex Maynard), Journal of Business & Economic Statistics, Vol 29, No.4, 2011, pp. 455-467.

“Unit Roots, Cointegration and Pre-Testing in VAR Models” (with Ana Maria Herrera and Nikolay Gospodinov) forthcoming in Advances in Econometrics Volume 32 VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, Vol 32, 2013. pp.81-115.

Working Papers and Work in Progress

“Near-Optimal Unit Root Test with Stationary Covariate with Better Finite Sample Size”
Abstract| Paper

“Higher Power Tests for no Cointegration”

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