Publications

Gonçalves S., Herrera A. M., Kilian L., Pesavento E. (2022). When do State-Dependent local projections work?. Working Paper.

PDF Project

Chang Y., Herrera A. M., Pesavento E. (2022). Oil Price Volatility, Endogenous Regime Switching and Macroeconomic Factors. Working Paper.

Chen C., Gospodinov N., Maynard A., Pesavento E. (2022). Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections. Working Paper.

PDF Project Online Appendix

Gospodinov N., Maynard A., Pesavento E. (2021). Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-to-Noise. Advances in Econometrics in honor of Joon Y. Park - Forthcoming.

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Goncalves S., Herrera A. M., Kilian L., Pesavento E. (2021). Impulse response analysis for structural dynamic models with nonlinear regressors. Journal of Econometrics, 225(1), pp. 107-130.

PDF Project DOI

Gospodinov N., Herrera A. M., Pesavento E. (2013). Unit Roots, Cointegration and Pre-Testing in VAR Models. VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Advances in Econometrics, Vol. 32), Emerald Group Publishing Limited, pp. 81-115.

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Gospodinov N., Maynard A., Pesavento E. (2011). Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks. Journal of Business & Economic Statistics, 29 (4), pp. 455-467.

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Elliott G., Pesavento E. (2009). Testing the Null of No Cointegration When Covariates Are Known to Have a Unit Root. Econometric Theory, 25 (6), pp. 1829-1850.

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Herrera A. M., Pesavento E. (2009). Oil Price Shocks, Systematic Monetary Policy, and the 'Great Moderation'. Macroeconomic Dynamics, 13 (1), pp. 107-137.

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Herrera A. M., Murtazashvili I., Pesavento E. (2008). The Comovement in Inventories and Sales: Higher and Higher. Economics Letters, 99 (1), pp. 155-158.

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Pesavento E., Rossi B. (2007). Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?. Journal of Economic Dynamics and Control, 31 (7), pp. 2398-2412.

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Pesavento E. (2007). Residuals-based Tests for the Null of No-Cointegration: An Analytical Comparison. Journal of Time Series Analysis, 28 (1), pp. 111-137.

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Pesavento E., Rossi B. (2006). Small-Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons. Journal of Applied Econometrics, 21 (8), pp. 1135-1155.

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Elliott G., Pesavento E. (2006). On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973. Journal of Money, Credit and Banking, 38 (6), pp. 1405-1430.

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Herrera A. M., Pesavento E. (2005). The Decline in US Output Volatility: Structural Changes and Inventory Investment. Journal of Business & Economic Statistics, 23 (4), pp. 462-472.

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Pesavento E., Rossi B. (2005). Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure. Macroeconomic Dynamics, 9(4), 478-488.

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Elliott G., Jansson M., Pesavento E. (2005). Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity. Journal of Business & Economic Statistics, 23 (1), pp. 34-48.

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Pesavento E. (2004). An Analytical Evaluation of the Power of Tests for the Absence of Cointegration. Journal of Econometrics, 122 (2), pp. 349-384.

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