Publications

Gonçalves S., Herrera A. M., Kilian L., Pesavento E. (2023). State-Dependent Local Projections. Working Paper, this paper was previously known as `When do State-Dependent Local Projections Work?').

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Chang Y., Herrera A. M., Pesavento E. (2023). Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring. Journal of Applied Econometrics - Forthcoming.

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Manta A, . Pesavento E. Takumah W. (2023). Connectedness and Layers Factors. Working in Progress.

Chen C., Gospodinov N., Maynard A., Pesavento E. (2022). Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections. Journal of Empirical Finance - vol 68, 2022, pp.190-215..

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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 - vol 54A, pp. 295-318..

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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.

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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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