Publications

Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections

We incorporate low frequency information from demographic variables into a simple predictive model to forecast stock valuations and …

Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in structural dynamic models that include nonlinearly transformed regressors. …

Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-to-Noise

This paper studies inference in cointegrating regessions and vector error correction (VEC) models when the cointegrating errors are a …

Unit Roots, Cointegration and Pre-Testing in VAR Models

This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector …

Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks

This article clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the …

Testing the Null of No Cointegration When Covariates Are Known to Have a Unit Root

A number of tests have been suggested for the test of the null of no cointegration. Under this null, correlations are spurious in the …

Oil Price Shocks, Systematic Monetary Policy, and the 'Great Moderation'

The U.S. economy has experienced a reduction in volatility since the mid-1980s. In this paper we investigate the changes in the …

The Comovement in Inventories and Sales: Higher and Higher

We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng’s [Ng, S., 2006, Testing …

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?

This paper provides a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response …

Residuals-based Tests for the Null of No-Cointegration: An Analytical Comparison

This article studies the asymptotic distribution of five residuals‐based tests for the null of no‐cointegration under a local …

Small-Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead …

On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973

Point estimates suggest mean reversion in real exchange rates; however, it still remains uncomfortable that models without any mean …

The Decline in US Output Volatility: Structural Changes and Inventory Investment

Explanations for the decline in U.S. output volatility since the mid-1980s include: ‘better policy,’ ‘good …

Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in …

Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity

Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known …

An Analytical Evaluation of the Power of Tests for the Absence of Cointegration

This paper proposes a theoretical explanation for the common empirical results in which different tests for cointegration give …